股票价格遵循Ornstein-Uhlenbeck过程的复合期权定价 |
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引用本文: | 杨淑彩,薛红,薛应珍.股票价格遵循Ornstein-Uhlenbeck过程的复合期权定价[J].西安工程科技学院学报,2014(3):376-380. |
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作者姓名: | 杨淑彩 薛红 薛应珍 |
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作者单位: | 西安工程大学理学院;西安外事学院商学院; |
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基金项目: | 陕西省自然科学基金资助项目(2010JM1010) |
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摘 要: | 讨论了股票价格遵循指数O-U(Ornstein-Uhlenbeck)过程,收益率和利率为时间 t的函数的欧式复合期权定价问题,用保险精算方法,给出了复合期权定价公式。
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关 键 词: | 复合期权定价 保险精算 Ornstein-Uhlenback过程 |
Compound option pricing under Ornstein-Uhlenbeck process |
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Institution: | YANG Shu-cai, XUE Hong, XUE ging-zhen (1. School of Science Xi'an Polytechnic University,Xi'an 710048,China; 2. School of Business, Xi'an International University, Xi'an 710077, China) |
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Abstract: | T he pricing compound option on stock w hose price process is driven by exponential Ornstein-Uhlenbeck with the time-dependent parameters (expected rate and risk-less rate) is considered .By the actuarial approach ,the pricing formulas of compound option is obtained . |
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Keywords: | compound option pricing actuarial approach Ornstein-Uhlenbeck process |
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