基于Hull-White利率下O-U过程的复合期权定价  

Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate

作　　者：王向荣 薛瑶瑶 WANG Xiangrong;XUE Yaoyao(College of Mathematics and Systems Science,Shandong University of Science and Technology,Qingdao,Shandong 266590,China;Financial Research Institute,Shandong University of Science and Technology,Qingdao,Shandong 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：《华中师范大学学报（自然科学版）》2019年第1期20-25,共6页Journal of Central China Normal University：Natural Sciences

基　　金：国家自然科学基金项目(10071127)

摘　　要：采用Hull-White模型和指数O-U过程来刻画利率和股票价格的变化规律,考虑到标的资产价格和利率的随机性与均值回复性,利用鞅理论和Girsanov定理,研究了股票价格在随机利率下遵循指数O-U过程的复合期权定价问题,得到了复合期权的定价公式.The changing rules of interest rate and stock price are described by applying Hull-white model and exponential Ornstein-Uhlenbeck process.The randomness and mean-recoversion of interest rate and underlying asset are considered.The pricing problem of compound option under Ornstein-Unlenbeck process and stochastic rate are studied by using the martingale theory and the Girsanov theorem.Finally,the pricing formulas of compound options are obtained.

关 键 词：复合期权 Hull-White利率 指数O-U过程 鞅定价 计价单位转换 

分 类 号：F830.9[经济管理—金融学]