次分数跳-扩散Vasicek随机利率下的重置期权定价  

Sub-score Jump-diffusion Replacement Option Pricing under Vasicek Random Interest Rate

作　　者：孙明明 SUN Mingming(School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing 210046,China)

机构地区：[1]南京财经大学应用数学学院,江苏南京210046

出　　处：《常熟理工学院学报》2023年第2期96-101,124,共7页Journal of Changshu Institute of Technology

摘　　要：研究了标的资产价格过程满足次分数布朗运动与跳-扩散过程共同驱动的随机微分方程.根据次分数布朗运动随机分析理论,建立利率满足次分数Vasicek模型,利用保险精算法,研究此环境下重置期权定价问题,得到相应的重置期权定价公式.推广了已有的关于重置期权定价的相关结论.The stochastic differential equation driven by sub fractional Brownian motion and jump diffusion process is studied.According to the stochastic analysis theory of sub fractional Brownian motion,the sub fractional Vasicek model of interest rate is established by using actuarial method,The reset option pricing problem under this environment is studied,and the corresponding reset option pricing formula is obtained.This paper generalizes the existing conclusions on the pricing of reset options.

关 键 词：重置期权 随机利率 次分数布朗运动 保险精算法 

分 类 号：F830.9[经济管理—金融学]