| 基于Hull-White利率下O-U过程的复合期权定价 |
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| 引用本文： | 王向荣,薛瑶瑶. 基于Hull-White利率下O-U过程的复合期权定价[J]. 华中师范大学学报(自然科学版), 2019, 53(1): 20-25 |
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| 作者姓名： | 王向荣 薛瑶瑶 |
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| 作者单位： | 1.山东科技大学数学与系统科学学院， 山东 青岛 266590； 2.山东科技大学金融工程研究所， 山东 青岛 266590 |
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| 摘 要： | 采用Hull-White模型和指数O-U过程来刻画利率和股票价格的变化规律，考虑到标的资产价格和利率的随机性与均值回复性，利用鞅理论和Girsanov定理，研究了股票价格在随机利率下遵循指数O-U过程的复合期权定价问题，得到了复合期权的定价公式.
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| 关 键 词： | 复合期权 Hull-White利率 指数O-U过程 鞅定价 计价单位转换 |
| 收稿时间： | 2019-01-25 |
Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate |
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| WANG Xiangrong,XUE Yaoyao. Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate[J]. Journal of Central China Normal University(Natural Sciences), 2019, 53(1): 20-25 |
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| Authors: | WANG Xiangrong XUE Yaoyao |
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| Affiliation: | 1.College of Mathematics and Systems Science， Shandong University of Science and Technology， Qingdao， Shandong 266590， China；2.Financial Research Institute， Shandong University of Science and Technology， Qingdao， Shandong 266590，China |
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| Abstract: | The changing rules of interest rate and stock price are described by applying Hull-white model and exponential Ornstein-Uhlenbeck process.The randomness and mean-recoversion of interest rate and underlying asset are considered.The pricing problem of compound option under Ornstein-Unlenbeck process and stochastic rate are studied by using the martingale theory and the Girsanov theorem .Finally， the pricing formulas of compound options are obtained. |
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| Keywords: | compound option Hull-White rate exponential Ornstein-Uhlenbeck process martingale approach changes of numeraire |
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