| 股价服从指数O-U过程的多点重置期权定价 |
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| 引用本文： | 王雯雯,徐云.股价服从指数O-U过程的多点重置期权定价[J].数学理论与应用,2011(4):85-90. |
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| 作者姓名： | 王雯雯 徐云 |
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| 作者单位： | 新疆大学数学与系统科学学院; |
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| 基金项目： | 自治区高效科研计划重点项目 |
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| 摘 要： | 本文在风险中性定价原则下,得到了股价服从指数O-U(Ornstein-Uhlenbeck)过程的n个重置日期m个执行价格的重置期权定价,又在利率服从扩展Vasicek模型下,得到了n个重置日期m个执行价格的重置期权定价.
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| 关 键 词： | 指数O-U过程 多点重置期权 Girsanov’s定理 |
Pricing Reset Options with Multiple Strike Resets and Reset Dates on Stocks driven by Ornstein-Uhlenbeck Process |
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| Wang Wenwen Xu Yun.Pricing Reset Options with Multiple Strike Resets and Reset Dates on Stocks driven by Ornstein-Uhlenbeck Process[J].Mathematical Theory and Applications,2011(4):85-90. |
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| Authors: | Wang Wenwen Xu Yun |
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| Institution: | Wang Wenwen Xu Yun(Department of Mathematic,Xinjiang University,Urumq,830046) |
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| Abstract: | In this paper,under the risk neutral pricing model,the pricing formulas of reset options with m strike resets and n pre-decided reset date are obtained for the stock whose price process is driven by exponential Ornstein-Uhlenbeck process.And pricing formula for the reset options with m strike resets and n pre-decided reset date on a stock whose price process is driven by exponential O-U process when the interest rate follows an extended vasicek's model is obtained. |
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| Keywords: | Exponential Ornstein-Uhlenbeck Process Multiple strike resets and reset dates Girsanov's theorem |
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