摘要
研究股票价格服从连续广义指数O-U过程模型下的复杂任选期权的定价问题.假设无风险利率、波动率都是时间的函数,首先采用鞅方法得到复杂任选期权的价格公式,然后用保险精算的方法,给出了复杂任选期权在任意时刻t的价格.
We consider the complex chooser option pricing problem when the stock price follows a continuous generalized exponential Ornstein-Uhlenbeck process model.We suppose that risk interest rate,the expected return rate and volatility of the stock price are functions of time. We adopt the martingale approach to price the complex chooser option,the analytical pricing formula of the complex chooser options is derived. We also give the actuarial methods for pricing the complex chooser option and we derive the analytical pricing formula of the complex chooser options.Some conclusions are also given.
作者
董江江
高凯
刘雪汝
Dong Jiangjiang;Gao Kai;Liu Xueru(School of Busines,Nanjing Normal University,Nanjing 210023,China）（2.School of Matliematical Sciences,Nanjing Normal University,Nanjing 210023,China)
出处
《南京师大学报（自然科学版）》
CAS
CSCD
北大核心
2018年第2期16-22,共7页
Journal of Nanjing Normal University(Natural Science Edition)
基金
The National Natural Science Foundation of China(61374080)
关键词
复杂任选期权
O-U过程
鞅
测度变换
保险精算
complex chooser option pricing
O-U process
martingale
measure transforms
insurance actuarial
