O-U过程下欧式浮动履约价的回望期权定价  

European Floating Strike Lookback Option Valuation Based on Ornstein-Uhlenback Process

作　　者：杨朝强[1] 

机构地区：[1]兰州交通大学数理与软件工程学院,兰州730070

出　　处：《鲁东大学学报（自然科学版）》2011年第3期225-228,共4页Journal of Ludong University:Natural Science Edition

摘　　要：利用指数O-U过程,研究了一类典型的路径依赖型奇异期权——欧式浮动履约价的回望期权定价问题.在无风险利率依赖于时间参数的情况下,首先利用概率测度变换和鞅分析知识,研究了欧式浮动履约价的回望期权定价模型,最后分别给出了欧式浮动履约价的看涨回望期权和看跌回望期权定价公式的显式解.Using the exponential Ornstein-Uhlenback process,a typical path-dependent exotic lookback option i. e. European floating strike price of the lookback option valuation problem, is discussed. In case that the riskfree rate depends on the time parameter, the pricing model for the European floating strike price of the lookback option is studied by means of the probability measure transformation and the martingale analysis. Then the explicit solutions of floating strike lookback call option price formula and lookbaek put option price formula are shown respectively.

关 键 词：指数O-U过程 欧式浮动履约价 鞅分析 回望期权 

分 类 号：F830.91[经济管理—金融学] O211.6[理学—概率论与数理统计]