O-U过程下不确定执行价格的亚式期权定价  

Asian option pricing with changing exercise price based on Omstein-Uhlenback process

作　　者：赵攀[1] 袁国军[1] 施明华[1] 

机构地区：[1]皖西学院数理系,安徽六安237012

出　　处：《合肥工业大学学报（自然科学版）》2010年第11期1757-1760,共4页Journal of Hefei University of Technology：Natural Science

基　　金：安徽省高校优秀人才基金资助项目(2009SQRZ189);安徽省教育厅自然科学研究资助项目(KJ2009B095;KJ2009B113);六安市科研资助项目(2008LW001)

摘　　要：文章利用能反映股票预期收益率波动变化的指数Omstein-Uhlenback过程,来描述期权标的股票价格的变化规律;在无风险利率依赖于时间参数的情况下,利用鞅方法和随机微分方程,研究了具有不确定执行价格的几何平均亚式期权的定价问题,得到了股票遵循指数O-U过程且具有不确定执行价格的几何平均亚式看涨及看跌期权的定价公式。The pricing option on a stock is considered by the exponential Omstein-Uhlenback process,which can reflect fluctuations in the appreciation rate of the underlying stock＇s price.In case that the risk-free rate depends on the time parameter,the pricing method for the geometric average Asian option with changing exercise prices is studied by means of the stochastic differential equation and the martingale method.The pricing formulas of geometric average Asian put option pricing and call option pricing with changing exercise prices are obtained,which obey the exponential Omstein-Uhlenback process.

关 键 词：指数O-U过程 期权定价 鞅方法 亚式期权 

分 类 号：F830.91[经济管理—金融学]