| 基于指数O-U过程的幂型欧式期权定价 |
| |
| 引用本文： | 赵,攀.基于指数O-U过程的幂型欧式期权定价[J].贵州师范大学学报(自然科学版),2014(1):44-47. |
| |
| 作者姓名： | 赵 攀 |
| |
| 作者单位： | 皖西学院金融与数学学院,安徽六安237012 |
| |
| 基金项目： | 安徽省高校优秀青年基金项目（2012SQRL196）,安徽省教学研究重点项目（20100874）;安徽高等学校省级自然科学研究项目（KJ2011B210） |
| |
| 摘 要： | 为了使股票价格更加符合市场实际情况,采用了能够反映股票预期收益率波动变化的指数O-U(Ornstein-Uhlenback)过程来刻画股票价格的变化规律,利用保险精算方法,获得了幂型欧式期权的定价公式。
|
| 关 键 词： | O-U过程 幂型期权 保险精算法 奇异期权 |
Pricing of power european options based on the exponential ornstein-uhlenback process |
| |
| ZHAO Pan.Pricing of power european options based on the exponential ornstein-uhlenback process[J].Journal of Guizhou Normal University(Natural Sciences),2014(1):44-47. |
| |
| Authors: | ZHAO Pan |
| |
| Institution: | ZHAO Pan ( College of Finance and Mathematics, West Anhui University, Luan, Anhui 237012, China) |
| |
| Abstract: | In this paper, in order to make the stock price more in line with the actual situation of the market, the exponential ornstein - uhlenbaek process is used to describe the variation of the stock price, which can reflect the fluctuation of the expected return volatility, then, the pricing formulas of power European options are obtained by the actuarial approach. |
| |
| Keywords: | 0 - U process power options actuarial approach exotic option |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
