| 资产价格服从指数O-U过程的连续平方双重障碍期权的定价公式 |
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| 引用本文： | 傅强,胡攀.资产价格服从指数O-U过程的连续平方双重障碍期权的定价公式[J].内蒙古师范大学学报(自然科学版),2009,38(1). |
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| 作者姓名： | 傅强 胡攀 |
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| 作者单位： | 傅强,FU Qiang(重庆大学,经济与工商管理学院);胡攀,HU Pan(重庆大学,数理学院,重庆,400044)
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| 摘 要： | 在标的资产价格服从指数O-U过程的模型假设下,运用 Girsanov 定理和期权定价的鞅方法,给出连续平方期权的定价公式以及4种带有双重障碍的连续平方期权的定价公式.
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| 关 键 词： | Girsanov定理 鞅方法 指数O-U过程 |
Pricing Continues Square Double Barriers Option with Underlying Assets Driven by Exponential Ornstein-Uhlenback Process |
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| FU Qiang,HU Pan.Pricing Continues Square Double Barriers Option with Underlying Assets Driven by Exponential Ornstein-Uhlenback Process[J].Journal of Inner Mongolia Normal University(Natural Science Edition),2009,38(1). |
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| Authors: | FU Qiang HU Pan |
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| Institution: | 1.College of Economics and Business Administration;Chongqing University;2.College of Mathematics and Physics;Chongqing 400044;China |
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| Abstract: | Under the hypothesis of underlying asset price submitted to the Ornstein-Uhlenbeck process,this paper presents the price of continues square options and some pricing formulas for four kinds of continues square options with double barriers by using Girsanov theorem and the martingale method of option pricing. |
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| Keywords: | Girsanov theorem martingale method the Ornstein-Uhlenbeck process |
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