随机利率下服从分数跳-扩散模型的重置期权定价  

Pricing of Reset Option Under Fractional Jump-Diffusions and Stochastic Rate

作　　者：秦进[1] 邓小华[2] 

机构地区：[1]遵义师范学院数学系,贵州遵义564302 [2]棠湖中学外语实验学校,四川成都610225

出　　处：《数学的实践与认识》2012年第19期1-9,共9页Mathematics in Practice and Theory

摘　　要：假设利率服从扩展的Vasicek模型,标的资产价格服从分数跳-扩散过程,利用无套利理论与多元正态分布,导出了规定时间的重置期权的定价公式.Under the assumptions that the exchange rate and the price of underlying asset obey an expanding Vesick model and a fractional jump-diffusions process respectively, this paper obtained the pricing formulas of European call option and the reset option with predetermined dates by means of the no-arbitrage theory and multivariable normal distribution.

关 键 词：重置期权 随机利率 分数布朗运动 跳-扩散过程 

分 类 号：F820[经济管理—财政学] F224