| 基于O-U过程具有不确定执行价格的期权保险精算定价 |
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| 引用本文： | 刘兆鹏,刘钢. 基于O-U过程具有不确定执行价格的期权保险精算定价[J]. 杭州师范大学学报(自然科学版), 2011, 0(4): 316-319 |
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| 作者姓名： | 刘兆鹏 刘钢 |
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| 作者单位： | 宿州学院数学与统计学院; |
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| 基金项目： | 宿州学院自然科学研究项目(2009yzk20,2009yzk18);宿州学院硕士科研启动基金(2008yss20) |
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| 摘 要： | 利用保险精算方法,给出股票价格遵循广义O-U (Ornstein-Uhlenback)过程模型具有不确定执行价格的欧式期权的精确定价公式以及买权和卖权之间的平价关系,进而推出有红利率的欧式看涨看跌期权的保险精算定价公式.
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| 关 键 词： | O-U过程 保险精算 期权定价 不确定执行价格 |
Actuarial Approach of Option Pricing with Change Exercise Price Based on Ornstein|Uhlenbeck Process |
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| LIU Zhao-peng,LIU Gang. Actuarial Approach of Option Pricing with Change Exercise Price Based on Ornstein|Uhlenbeck Process[J]. , 2011, 0(4): 316-319 |
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| Authors: | LIU Zhao-peng LIU Gang |
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| Affiliation: | LIU Zhao-peng,LIU Gang(School of Mathematics and Statistics,Suzhou College,Suzhou 234000,China) |
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| Abstract: | Using the actuarial approach,the paper provided the accurate pricing formula and put call parity of European option with change exercise price on the stocks whose price processes are driven by general Ornstein Uhlenback process,and derivated the pricing formulas of European call option and the put option with continuous dividend yield. |
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| Keywords: | O-U process actuarial approach option pricing change exercise price |
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