| 支付红利的O-U过程的亚式期权定价 |
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| 引用本文： | 赵攀.支付红利的O-U过程的亚式期权定价[J].江汉大学学报(自然科学版),2013,41(1):31-34. |
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| 作者姓名： | 赵攀 |
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| 作者单位： | 皖西学院 应用数学学院,安徽六安,237012 |
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| 基金项目： | 安徽省教学研究重点项目，安徽省高校优秀青年基金项目 |
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| 摘 要： | 利用鞅和随机分析方法对带有支付红利的指数O-U过程的亚式期权进行了研究,得到了支付红利的指数O-U过程的几何平均亚式看涨及看跌期权的定价公式。
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| 关 键 词： | O-U过程 期权定价 鞅方法 亚式期权 |
Model of Asian Option Pricing Driven by O-U Process with Dividend Payment |
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| ZHAO Pan.Model of Asian Option Pricing Driven by O-U Process with Dividend Payment[J].Journal of Jianghan University:Natural Sciences,2013,41(1):31-34. |
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| Authors: | ZHAO Pan |
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| Institution: | ZHAO Pan(School of Applied Mathematics,West Anhui University,Liuan 237012,Anhui,China) |
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| Abstract: | Asian option with dividend payments,driven by O-U process were studied by using the martingale and stochastic analysis method.The pricing formulas of the geometric average asian put and call option are obtained,under the circumstance that the stock price is driven by an expo nential O-U process and has dividend payment. |
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| Keywords: | O-U process option pricing martingale method Asian option |
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