斜OU过程下的债券定价  

Bond Pricing Under Skew OU Process

作　　者：张颢严 芦懿泽 吴银银 Zhang Haoyan;Lu Yize;Wu Yinyin(College of Science,Civil Aviation University of China,Tianjin 300300,China)

机构地区：[1]中国民航大学理学院,天津300300

出　　处：《南开大学学报（自然科学版）》2022年第5期44-49,共6页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：the National Natural Science Foundation of China(12101602);the Counterpart Fund of National Natural Science Foundation of China(3122022PT17)。

摘　　要：研究了斜OU过程下的债券定价问题.通过函数变换,将斜OU过程转化为分段OU过程过程,该分段OU过程不包含难以处理的对称局部时项.基于夏普率给出债券的定价方程,同时得到其闭型表达式.The bond pricing under skew OU process is studied.By function transform,we derive the piecewise OU process is derived,which removes the symmetric local time.Based on the sharpe ratio,the pricing equation is given and the closed-form solution is derived.

关 键 词：债券定价 斜OU过程 夏普率 闭型解 

分 类 号：O211.6[理学—概率论与数理统计]