分数Vasicek利率模型下几种新型期权定价  

Pricing some exotic options under fractional Vasicek interest rate

作　　者：王媛媛[1] 薛红[1] 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《哈尔滨商业大学学报（自然科学版）》2014年第5期621-625,共5页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：陕西省教育厅自然科学专项基金(12JK0862)

摘　　要：假定股票价格过程服从分数跳-扩散过程,利率满足分数Vasicek利率模型,利用分数跳-扩散过程理论以及保险精算方法,讨论几种新型期权-欧式看涨幂型期权、欧式上封顶及下保底看涨幂型期权定价问题,获得了此类期权定价公式,将期权定价模型做了进一步推广.This paper assumed that stock price process obeyed fractional jump -diffusion process, and interest rate satisfied the fractional Vasicek model .Some exotic options inclu-ding power option , cap option were discussed , and the pricing formulae were obtained by the fractional jump -diffusion process theory and actuarial method .The option pricing model was generalized .

关 键 词：期权定价 保险精算方法 分数跳-扩散过程 分数Vasicek利率模型 

分 类 号：F830[经济管理—金融学]