| 利率服从Vasicek模型下的欧式期权定价 |
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| 引用本文： | 王晶,张兴永.利率服从Vasicek模型下的欧式期权定价[J].安庆师范学院学报(自然科学版),2011,17(3):35-37,45. |
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| 作者姓名： | 王晶 张兴永 |
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| 作者单位： | 中国矿业大学理学院,江苏徐州,221008;中国矿业大学理学院,江苏徐州,221008 |
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| 摘 要： | 本文提供一种随机利率模型下的欧式期权定价的解析解。首先对不支付红利的零息票债券进行定价,提高其精度。然后利用股票、债券、期权进行投资组合得到欧式期权满足的随机微分方程,并通过变换得到它的显式解。最后通过数值试验验证其有效性,同时分析了随机利率对欧式看涨期权的影响。
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| 关 键 词： | 期权定价 Vasicek模型 Black-Scholes定价模型 投资组合 |
European Option Pricing under the Vasicek Model of the Interest Rate |
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| WANG Jing,ZHANG Xing-yong.European Option Pricing under the Vasicek Model of the Interest Rate[J].Journal of Anqing Teachers College(Natural Science Edition),2011,17(3):35-37,45. |
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| Authors: | WANG Jing ZHANG Xing-yong |
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| Institution: | (School of Science,China University of Mining and Technology,Xuzhou 221008,China) |
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| Abstract: | Base on the stochastic nature of the rate,an explicit option pricing formula is obtained for European option.First of all,we derive the pricing formula for a riskless zero-coupon bond under the Vasicek mordel to enhance its accuracy,then we form a hedge portfolio consisting of the stock,the riskless bond,and the call to derive a stochastic differential equation,and solve its explicit solution.A numerical example is given for verifying the validity of the formula,and analyzing the effects of stochastic interest rate for European option pricing. |
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| Keywords: | option pricing vasicek model black-stoles pricing model portfolio |
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