股票价格遵循Ornstein-Uhlenback过程的期权定价

讨论了股票价格过程遵循指数O—U(ornstein—uhlenback)过程的欧式期权定价问题，分别用保险精算法和套利定价方法，考虑了在有效期内股票有无红利支付两种情况下的欧式期权定价问题，给出了股票价格遵循指数O—U过程和广义指数O—U过程的欧式期权定价公式，并讨论了两种定价方法所得公式之间的关系，证明了在指数O—U过程模型下保险精算定价是一有套利定价。

Pricing options on stocks driven by Ornstein_Uhlenback process

The pricing European option on a stock whose price process is driven by exponential Ornstein_Uhlenback process is considered. Under the conditions of the stock with paying dividends and without paying during the effective date, the problems of European option pricing are disscused by using the approach of insurance actuary pricing and arbitrage pricing respectively. The formulas of the pricing European option are obtained for the stock whose price process is driven by exponential O_U process by the above two approaches. Then, the relation between insurance actuary pricing and no-arbitrage pricing is discussed . We prove that insurance actuary pricing is arbitrage under the exponentila O-U process model.