支付红利的O-U过程的亚式期权定价  

Model of Asian Option Pricing Driven by O-U Process with Dividend Payment

作　　者：赵攀[1] 

机构地区：[1]皖西学院应用数学学院,安徽六安237012

出　　处：《江汉大学学报（自然科学版）》2013年第1期31-34,共4页Journal of Jianghan University：Natural Science Edition

基　　金：安徽省教学研究重点项目(20100874);安徽省高校优秀青年基金项目(2012SQRL196)

摘　　要：利用鞅和随机分析方法对带有支付红利的指数O-U过程的亚式期权进行了研究,得到了支付红利的指数O-U过程的几何平均亚式看涨及看跌期权的定价公式。Asian option with dividend payments, driven by O-U process were studied by using the martingale and stochastic analysis method. The pricing formulas of the geometric average asian put and call option are obtained, under the circumstance that the stock price is driven by an expo- nential O-U process and has dividend payment.

关 键 词：O-U过程 期权定价 鞅方法 亚式期权 

分 类 号：O213[理学—概率论与数理统计] F830.91[理学—数学]