摘要
在短期利率服从Vasicek模型下,利用等价鞅方法和无套利定价理论,研究了n种资产的极值期权的定价问题,并给出其定价解析式;讨论了极大值与极小值期权的定价关系式,得出非随机利率下极值期权的定价公式,它是研究的一种特殊情况.
Applying the equivalent barrier option and the theory of no-arbitrary pricing, this paper studies the option pricing on maximum or minimum of risk assets in Vasicek model, and provides the pricing formula with the no-random rate and the relationship of European options on maximum or minimum of several assets in Vacicek model, which is a special study case.
出处
《吉首大学学报（自然科学版）》
CAS
2006年第4期9-12,共4页
Journal of Jishou University(Natural Sciences Edition)
关键词
随机利率
极值期权
鞅方法
无套利定价
random rate
option on the maximum or minimum of risk assets
barrier option
no-arbitrary pricing
