股票价格服从指数O-U过程的复合期权定价方法探析  

Analysis on Pricing Methods of Compound Option When Stock Price Obeys Exponential O-U Process

作　　者：许聪聪[1,2] 王建锋[3] 

机构地区：[1]石家庄铁路职业技术学院,中国石家庄050041 [2]中国人民大学信息学院,中国北京100872 [3]青海师范大学数学与信息科学学院,中国西宁810008

出　　处：《湖南师范大学自然科学学报》2015年第3期74-79,共6页Journal of Natural Science of Hunan Normal University

基　　金：国家自然科学基金资助项目(11101232;11171349);青海省自然科学基金资助项目(2011-Z-929Q)

摘　　要：为探讨欧式复合期权的定价方法,假设股票价格服从指数Ornstein-Uhlenback(O-U)过程,且所有参数均为相依于时间的函数,利用保险精算和等价鞅测度两种方法对欧式复合期权进行定价,得到了两种不同方法下的欧式复合期权的定价公式,并讨论了两者之间的关系.证明了在指数O-U过程模型下保险精算定价是一种有套利定价,从而进一步推广了Geske的结论.A model of compound option was studied by supposing the stock price obeys the exponential Ornstein-Uhlenback process and all the parameters are the functions of time t. The exact solutions to the European compound options were obtainod by the approaches of insurance actuary pricing and martingale pricing, respectively. And the relation between insurance actuary pricing and no-arbitrage pricing is discussed. We proved that insurance actuary pricing is arbitrage under the exponential O-U process model, which extended the results of Geske.

关 键 词：复合期权 指数O-U过程 保险精算定价 鞅定价 

分 类 号：O211.6[理学—概率论与数理统计]