随机利率下标的资产价格波动率服从有限马尔可夫链的欧式看涨期权定价  

Pricing of European Call Option Under Stochastic Interest Rates Assuming Volatility of Price of Underlying Assets Follows a Finite Markov Chain

作　　者：王剑君[1] 

机构地区：[1]湖南工程学院理学院,湘潭411104

出　　处：《湖南工程学院学报（自然科学版）》2017年第4期48-51,共4页Journal of Hunan Institute of Engineering(Natural Science Edition)

摘　　要：设利率随机,股价波动率为马尔可夫过程,在综合考虑利率和股价模型的基础上,推导了随机利率和随机波动率下欧式看涨期权的定价公式.Assuming that the interest rates is a stochastic process and the volatility of stock price follows a Markov process, this paper derives the pricing formulas of the European call option under the stochastic interest rates and stochastic volatility, considering comprehensively the interest rates and the models of stock price.

关 键 词：随机利率 随机波动率 马尔可夫链 欧式看涨期权 

分 类 号：F830.9[经济管理—金融学] O211.6[理学—概率论与数理统计]