| 基于O-U过程具有随机寿命的奇异期权定价 |
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| 引用本文： | 刘兆鹏,费时龙,晋守博.基于O-U过程具有随机寿命的奇异期权定价[J].安庆师范学院学报(自然科学版),2011,17(1):38-41. |
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| 作者姓名： | 刘兆鹏 费时龙 晋守博 |
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| 作者单位： | 宿州学院数学与统计学院,安徽,宿州,234000 |
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| 基金项目： | 宿州学院自然科学研究项目，宿州学院硕士科研启动基金 |
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| 摘 要： | 假设股票价格遵循能反映股票预期收益率波动变化的指数O-U过程,利用期权定价的鞅方法和具有随机寿命的欧式期权的定价公式,得到了指数O-U过程随机模型下具有随机寿命的2种奇异期权的定价公式。
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| 关 键 词： | 指数Ornstein-Uhlenback过程 鞅方法 随机寿命 上限型权证 抵付型权证 |
Pricing of Exotic Options with Stochastic Lives under the Ornstein-Uhlenbeck Process |
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| LIU Zhao-peng.Pricing of Exotic Options with Stochastic Lives under the Ornstein-Uhlenbeck Process[J].Journal of Anqing Teachers College(Natural Science Edition),2011,17(1):38-41. |
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| Authors: | LIU Zhao-peng |
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| Institution: | LIU Zhao-peng(School of Mathematics and Statistics,Suzhou College,Suzhou 234000,China) |
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| Abstract: | In this paper,we assume that stock-price process is driven by Ornstein-Uhlenback process,which can reflect fluctuation in the appreciation rate of the stock.Under the stochastic model of exponential Ornstein-Uhlenback process,the pricing formulas of two kinds of exotic options with stochastic lives are obtained by martingale method and the pricing formula of the European option with stochastic lives. |
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| Keywords: | O-U process martingale method stochastic life capped call deductible call |
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