| 股票价格遵循O-U过程期权定价的对偶鞅方法 |
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| 作者单位： | ;1.西安翻译学院基础课部 |
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| 摘 要： | 讨论了股票价格遵循O-U(Ornstein-Uhlenback)过程的欧式期权的定价问题,考虑测度变换对于期权定价的影响,文章尝试用期权定价的新方法——对偶鞅方法推导出欧式期权的定价公式.
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| 关 键 词： | Ornstein-Uhlenback过程 欧式期权 对偶鞅方法 |
A dual martingale method for the option pricing of the stock prices following the O-U process |
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| Affiliation: | ,Department of Basic Courses,Xi'an Fanyi University |
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| Abstract: | This paper discusses the stock prices following O- U( Ornstein- Uhlenback) in connection with the European option pricing problems. With a consideration of the influence of measurement transformation on the option pricing,it uses a new method,that is,a dual martingale method for the European option pricing formula. |
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| Keywords: | Ornstein-Uhlenback process European option dual martingale method |
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