This paper presents a no-arbitrage model of closed-form approximation for valuing basketoptions under a stochastic interest rate economy.
本文推导出在随机利率经济体系下,无套利条件之组合型选择权的近似封闭解。
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The objective Sharpe ratio function of land development arithmetic average value portfolio is deduced based on the geometric average B-S model of the basketoptions in the paper.