随机利率下分数跳扩散Ornstein-Uhlenbeck期权定价模型  

Stochastic Interest Rates Model for European Options under Fractional Jump-Diffusion Ornstein-Uhlenbeck Process

作　　者：严惠云[1] 曹译尹[2] 

机构地区：[1]西安财经学院统计学院,陕西西安710100 [2]华北电力大学经济管理系,河北保定071000

出　　处：《经济数学》2011年第2期75-80,共6页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(10802061)

摘　　要：假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程,短期利率服从Hull-White模型,建立了随机利率情形下的分数跳扩散Ornstein-Uhlenbeck期权定价模型,利用价格过程的实际概率测度和公平保费原理,得到了欧式看涨期权定价的解析表达式,推广了Black-Scholes模型.Under the assumptions that stocks price process is driven by fractional diffusion process with non-homogeneous Poisson process,and the risk-less rate satisfies Hull-White model,the fractional jump-diffusion Ornstein-Uhlenbeck model under stochastic interest rates was built.Using physical probabilistic measure of price process and the principle of fair premium,the pricing formula of European option was obtained,which generalizes the Black-Scholes model.

关 键 词：分数跳-扩散 ORNSTEIN-UHLENBECK 随机利率 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]