反射Vasicek-Ornstein-Uhlenbeck模型下欧式看涨期权定价研究  

European Call Option Pricing under Reflected Vasicek-Ornstein-Uhlenbeck Model

作　　者：张立东[1,2] 孟祥波 Zhang Lidong;Meng Xiangbo(Department of Mathematics,Tianjin University of Science ＆ Technology,Tianjin 300457,China;Center for Financial Engineering and Risk Management,Tianjin University of Science ＆ Technology,Tianjin 300222,China)

机构地区：[1]天津科技大学数学系,天津300457 [2]天津科技大学金融工程与风险管理研究中心,天津300222

出　　处：《南开大学学报（自然科学版）》2018年第4期29-35,共7页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：国家自然科学基金(11201335)

摘　　要：利用反射Vasicek-Ornstein-Uhlenbeck过程描述商品价格,采用矩匹配的方法将该过程近似逼近为逐段几何布朗运动,最后给出欧式期权价格近似解.Reflected Vasicek-Ornstein-Uhlenbeck model is described as the price of the commodity,and it is firstly approximated as gemometric Brownian motion by moment matching pricing methods. Finally, the approximated price are given for the European-style call option under reflected Vasicek-OrnsteinUhlenbeck model.

关 键 词：反射Vasicek-Ornstein-Uhlenbeck模型 欧式看涨期权 矩匹配法 

分 类 号：O211.6[理学—概率论与数理统计]