O-U过程下具有不确定执行价格的领子期权定价  

Pricing of Collar Option with Uncertain Strike Price Based on O-U Process

作　　者：高新羽 刘丽霞[1] GAO Xin-yu;LIU Li-xia(College of Mathematics and Information Science of Hebei Normal University,Shijiazhuang 050024,China;Basic Education Department of Shijiazhuang Vocational College of Finance&Economics,Shijiazhuang 050061,China)

机构地区：[1]河北师范大学数学与信息科学学院,石家庄050024 [2]石家庄财经职业学院基础教育学院,石家庄050061

出　　处：《西南大学学报（自然科学版）》2019年第7期70-76,共7页Journal of Southwest University(Natural Science Edition)

基　　金：国家自然科学基金项目(11501164);河北省教育厅重点基金项目(ZD2018065)

摘　　要：假设股票价格遵循广义O-U(Ornstein-Uhlenback)过程,执行价格为不确定执行价格并服从几何分数布朗运动,利用拟鞅和测度变换的方法,得到该模型下领子期权定价公式并进行数值分析.该结果推广了常数参数下领子期权的结果,为金融衍生品创新提供了更多的理论依据.In this paper, we assume that the stock price follows generalized O-U(Ornstein-Uhlenback) process, and the strike price is uncertain and follows Geometric fractional Brownian motion. Using the methods of quasi-martingale and measure transformation, we get the pricing formulas of collar options under this model and make numerical analysis. The results generalize the related results of the collar options under constant parameters, and provide more theoretical evidences for the innovation of financial derivatives.

关 键 词：O-U过程 不确定执行价格 分数布朗运动 领子期权 拟鞅 

分 类 号：O211.6[理学—概率论与数理统计]