随机利率下相关性数字期权的定价  

Pricing of correlation digital options under the stochastic interest rate

作　　者：康文娟[1] 李翠香[1] 

机构地区：[1]河北师范大学数学与信息科学学院,河北石家庄050024

出　　处：《商丘师范学院学报》2017年第6期1-4,共4页Journal of Shangqiu Normal University

基　　金：国家自然科学基金资助项目(11571089)

摘　　要：利率随时间不断变化,若假设利率服从Vasicek模型,将更加贴近金融市场的实际情况.本文假设标的资产服从几何布朗运动,利率服从Vasicek模型,用多维Girsanov定理和测度变换推导出相关性数字期权的定价公式.Interest rate is changing with time, In order to make the asset prices model closer to reality of financial market, we will assume that the interest rate follows Vasicek model. In this paper, assuming that underlying asset price follows geometric Brownian motion, the interest rate follows Vasicek model, we get the pricing formulas of Correlation digital option by the help of multi -dimension Girsanov theorem and the change of measure.

关 键 词：相关性数字期权 测度变换 GIRSANOV定理 

分 类 号：O211.6[理学—概率论与数理统计]