| Vasicek利率模型下极值期权的定价 |
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| 引用本文： | 周俊,杨向群.Vasicek利率模型下极值期权的定价[J].吉首大学学报(自然科学版),2006,27(4):9-12. |
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| 作者姓名： | 周俊 杨向群 |
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| 作者单位： | (1.湖南科技大学商学院,湖南 湘潭 411201；2.湖南师范大学数学与计算机科学学院,湖南 长沙 410081) |
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| 摘 要： | 在短期利率服从Vasicek模型下,利用等价鞅方法和无套利定价理论,研究了n种资产的极值期权的定价问题，并给出其定价解析式;讨论了极大值与极小值期权的定价关系式，得出非随机利率下极值期权的定价公式，它是研究的一种特殊情况.
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| 关 键 词： | 随机利率 极值期权 鞅方法 无套利定价 |
| 文章编号： | 1007-2985（2006）04-0009-04 |
| 收稿时间： | 2005-11-15 |
| 修稿时间： | 2005-11-15 |
Option Pricing on Maximum or Minimum of Several Assets in Vacicek Model |
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| ZHOU Jun,YANG Xiang-qun.Option Pricing on Maximum or Minimum of Several Assets in Vacicek Model[J].Journal of Jishou University(Natural Science Edition),2006,27(4):9-12. |
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| Authors: | ZHOU Jun YANG Xiang-qun |
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| Institution: | (1.School of Business,Hunan University of Science and Technology,Xiangtan 411201,Hunan China;2.Department of Mathematics,Hunan Normal University,Changsha 410081，China) |
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| Abstract: | Applying the equivalent barrier option and the theory of no-arbitrary pricing, this paper studies the option pricing on maximum or minimum of risk assets in Vasicek model, and provides the pricing formula with the no-random rate and the relationship of European options on maximum or minimum of several assets in Vacicek model, which is a special study case. |
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| Keywords: | random rate option on the maximum or minimum of risk assets barrier option no-arbitrary pricing |
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