【摘要】 基于风险中性测度在一些衍生证券定价中的复杂性,提出一种新的测度变换方法——远期中性概率测度。在该测度基础上,构造鞅过程可以对一些固定收益衍生品定价,进一步给出零息债券的欧式期权、利率上限期权的定价公式。更多还原

【Abstract】 Considering the difficulty in valuating the fixed - income derivatives with the risk - neutral probability measure, this paper presents a new change -of- measure technique--forward - neutral probability measure.can used to construct the martingale process to valuate the fixed - income derivatives. It also helps to mark out the pricing formulas of call option in terms of zero - coupon bond and interest - rate caps.更多还原