| 分数Vasicek利率模型下几种新型期权定价 |
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| 引用本文： | 王媛媛,薛红.分数Vasicek利率模型下几种新型期权定价[J].哈尔滨商业大学学报(自然科学版),2014(5):621-625. |
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| 作者姓名： | 王媛媛 薛红 |
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| 作者单位： | 西安工程大学理学院,西安,710048 |
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| 基金项目： | 陕西省教育厅自然科学专项基金(12JK0862)． |
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| 摘 要： | 假定股票价格过程服从分数跳-扩散过程,利率满足分数Vasicek利率模型,利用分数跳-扩散过程理论以及保险精算方法,讨论几种新型期权-欧式看涨幂型期权、欧式上封顶及下保底看涨幂型期权定价问题,获得了此类期权定价公式,将期权定价模型做了进一步推广.
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| 关 键 词： | 期权定价 保险精算方法 分数跳-扩散过程 分数Vasicek利率模型 |
Pricing some exotic options under fractional Vasicek interest rate |
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| WANG Yuan-yuan,XUE Hong.Pricing some exotic options under fractional Vasicek interest rate[J].Journal of Harbin University of Commerce :Natural Sciences Edition,2014(5):621-625. |
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| Authors: | WANG Yuan-yuan XUE Hong |
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| Institution: | (School of Science, Xi＇ an Polytechnic University, Xi＇ an 710048, China) |
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| Abstract: | This paper assumed that stock price process obeyed fractional jump -diffusion process, and interest rate satisfied the fractional Vasicek model .Some exotic options inclu-ding power option , cap option were discussed , and the pricing formulae were obtained by the fractional jump -diffusion process theory and actuarial method .The option pricing model was generalized . |
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| Keywords: | option pricing actuarial method fractional jump-diffusion process fractional Vasicek model |
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