股价服从指数O-U过程的多点重置期权定价  

Pricing Reset Options with Multiple Strike Resets and Reset Dates on Stocks driven by Ornstein-Uhlenbeck Process

作　　者：王雯雯[1] 徐云[1] 

机构地区：[1]新疆大学数学与系统科学学院,乌鲁木齐830046

出　　处：《数学理论与应用》2011年第4期85-90,共6页Mathematical Theory and Applications

基　　金：自治区高效科研计划重点项目

摘　　要：本文在风险中性定价原则下,得到了股价服从指数O-U(Ornstein-Uhlenbeck)过程的n个重置日期m个执行价格的重置期权定价,又在利率服从扩展Vasicek模型下,得到了n个重置日期m个执行价格的重置期权定价.In this paPer, under the risk neutral pricing model,the pricing formulas of reset options with m strike resets and n pre - decided reset date are obtained for the stock whose price process is driven by exponential Omstein - Uhlenbeck process. And pricing formula for the reset options with m strike resets and n pre - decided reset date on a stock whose price process is driven by exponential O- U process when the interest rate follows an extended vasicek＇ s model is obtained.

关 键 词：指数O-U过程 多点重置期权 Girsanov’s定理 

分 类 号：F830.91[经济管理—金融学] O211.67[理学—概率论与数理统计]