Hull-White利率下有红利支付的O-U过程的幂型期权定价  

Pricing of Power Options under Ornstein-Uhlenbeck Process and Hull-White Interest Rate with Continuous Dividend

作　　者：曹雯雯 王向荣 CAO Wen-wen;WANG Xiang-rong(College of Mathematics and System Science, Shandong University of Science and Technology, Qingdao 266590, China;Institute of Financial Engineering, Shandong University of Science and Technology, Qingdao 266590, China)

机构地区：[1]山东科技大学数学与系统科学学院,山东青岛266590 [2]山东科技大学金融工程研究所,山东青岛266590

出　　处：《数学的实践与认识》2017年第21期122-127,共6页Mathematics in Practice and Theory

基　　金：山东科技大学研究生创新基金(SDKDYC170345)

摘　　要：考虑到标的资产(股票)价格和利率的随机性及均值回复特征,采用Hull-White模型刻画利率的变化规律,指数Ornstein-Uhlenbeck(O-U)过程刻画有红利支付的股票价格变化.利用计价单位转换的方法研究了基于以上模型且有连续支付红利情况下的一类幂型欧式期权定价问题,并得到了其定价公式.Consindering the randomness and mean-reversion of interest rate and underlying asset, the changing rules of interest rate and stock price with continuous dividend are discribed by Hull-White interest model and exponential Ornstein-Uhlenbeck（O-U） process respectively. The pricing problem of a class of power European option is studied by using the changes of numeraire method based on the above models and the continuous dividend. Finally, the pricing formulas of power European options are obtained.

关 键 词：幂型期权 Hull-White利率模型 ORNSTEIN-UHLENBECK过程 计价单位转换 

分 类 号：F830.9[经济管理—金融学]