随机利率下O-U过程的幂型欧式期权定价  

Pricing of power European options under Ornstein-Uhlenbeck process and stochastic rate

作　　者：赵攀[1,2] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]皖西学院金融与数学学院,安徽六安237012

出　　处：《合肥工业大学学报（自然科学版）》2014年第11期1386-1390,共5页Journal of Hefei University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(11171221);上海市一流学科基金资助项目(XTKX2012);安徽省高校优秀青年基金资助项目(2012SQRL196);安徽高等学校省级自然科学研究资助项目(KJ2011B210)

摘　　要：文章考虑了标的资产价格和利率的随机性与均值回复性,采用了Vasicek模型和指数O-U过程来刻画利率和股票价格的变化规律,在随机利率环境下,利用保险精算方法,研究了股票价格遵循指数O-U过程的幂型欧式期权的定价问题,得到了幂型欧式期权的定价公式。In this paper ,the randomness and mean‐reversion of interest rate and underlying asset are considered ,and the changing rules of interest rate and stock price are described by applying Vasicek model and exponential Ornstein‐Uhlenbeck （O‐U ） process .The pricing problem of power European options is studied by using the actuarial method under the circumstances of the exponential O‐U process and stochastic interest rate .Finally ,the pricing formulas of power European options are ob‐tained .

关 键 词：O-U过程 随机利率 幂型期权 保险精算法 

分 类 号：F830.9[经济管理—金融学]