Vasicek利率模型下乘积期权的定价  

Pricing of product options under Vasicek interest rates

作　　者：刘佳玥 李翠香[1] LIU Jiayue;LI Cuixiang(College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang 050024,China)

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：《周口师范学院学报》2017年第5期6-10,共5页Journal of Zhoukou Normal University

基　　金：国家自然科学基金(No.11401159)

摘　　要：假设期权的标的资产价格服从几何布朗运动,利率服从Vasicek模型,利用测度变换的方法推导出了随机利率下乘积期权的定价公式.In this paper,we assume that the asset price follow the geometric Brownian motion and the interest rate be subject to the Vasicek model,the pricing formula of the product option with stochastic interest rates is obtained by using the method of measure transformation.

关 键 词：几何布朗运动 随机利率 乘积期权 测度变换 

分 类 号：O211.6[理学—概率论与数理统计]