修正执行条件下O-U过程期权定价的保险精算方法  

Actuarial Approach of Option Pricing Based on Ornstein-Uhlenbeck Process under the Modified Condition

作　　者：刘洁[1] 赵月旭[1] LIU Jie;ZHAO Yuexu(School of Science, Hangzhou Dianzi University, Hangzhou Zhejiang 310018, China)

机构地区：[1]杭州电子科技大学理学院,浙江杭州310018

出　　处：《杭州电子科技大学学报（自然科学版）》2017年第1期87-90,共4页Journal of Hangzhou Dianzi University：Natural Sciences

基　　金：国家自然科学基金资助项目(61473107;61273093)

摘　　要：为了利用保险精算方法对不完全市场的期权进行定价,在权衡期权买卖双方权益的基础上分析了保险精算期权定价的执行条件并对其进行修正,在修正的执行条件下,根据股票价格过程的实际概率测度得到了中间无红利支付时O-U过程模型的欧式买权和卖权的精确定价公式及其平价关系,并通过实证验证了修正后的期权定价更加准确.To pricing the options in incomplete market,actuarial approach is used to change the option pricing problem into pure insurance cost determination problem,analysis of the conditions of actuarial option pricing and amended based on the option seller’s biggest rights and interests,under the modified condition and no intermediate dividends in accordance with the actual probability measure of stock price process,we derivate the accurate pricing formula of European call and put option and parity relationship of〇-U process model.

关 键 词：O-U过程 期权执行条件 保险精算方法 期权定价 

分 类 号：F830.9[经济管理—金融学]