利率均值回复模型下标的资产期权定价  

The Pricing of Options with the Rate of Mean Reverting Processes

作　　者：郭子君[1] 

机构地区：[1]华南农业大学理学院,广东广州510642

出　　处：《应用数学》2004年第S1期10-13,共4页Mathematica Applicata

摘　　要：在利率均值回复金融市场中 ,给出了财富贴现过程的随机微分方程 ;证明了与之联系的倒向随机微分方程解的存在唯一性 .最后 ,从倒向随机微分方程的解出发 ,得到了欧式期权定价的条件期望定价公式 .In the financial market under the rate with mean reverting processes,the stochastic differential equation about fortune processes is obtained;the existence and uniqueness of the backward stochastic differential equation associated with the stochastic differential equation above are proved;at last we arrive at the condition expectation formula of European option pricing.

关 键 词：均值回复过程 财富过程 倒向随机微分方程 解 欧式期权 

分 类 号：F224[经济管理—国民经济]