股票价格遵循指数O-U过程的变界障碍期权定价  

Maximun of brownian motion and barrier option

作　　者：刘娟芳[1] 韩丽华[2] 

机构地区：[1]河南师范大学数学与信息科学学院,河南新乡453007 [2]济宁职业技术学院基础部,山东济宁272037

出　　处：《周口师范学院学报》2008年第2期44-46,共3页Journal of Zhoukou Normal University

摘　　要：障碍期权是与路径相关的期权,因而它的定价计算是非常复杂的.运用鞅方法和具有漂移布朗运动的最大值与其终值的联合分布理论对障碍期权的定价问题进行了简化,从而最终得到了指数O-U过程下变界障碍期权的定价公式.Barrier options is path-dependent option, so it＇s difficult to calculate. The martingale methods and the joint distribution of the maximum with the terminal value of its underlying Brownian motion with drift were applied to varied barrier option driven by Ornstein-Unlenback process, thus a simple and effective piecing expressions was derived.

关 键 词：期权定价 鞅方法 O-U过程 具有漂移的布朗运动 障碍期权 

分 类 号：O211.6[理学—概率论与数理统计]