| 股票价格服从指数O-U过程的双标的幂型欧式混合期权定价 |
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| 引用本文： | 黄武,徐云.股票价格服从指数O-U过程的双标的幂型欧式混合期权定价[J].数学理论与应用,2010(3):111-115. |
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| 作者姓名： | 黄武 徐云 |
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| 作者单位： | 新疆大学数学与系统科学学院,乌鲁木齐830046 |
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| 基金项目： | 新疆维吾尔自治区高校科研基金（FSRPHEXJ：X/EDU2008109）资助 |
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| 摘 要： | 本文讨论了股票价格服从指数O-U过程的幂型支付的双标的欧式混合期权的定价问题。利用测度变换和鞅方法,得到了其解析形式的定价公式。
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| 关 键 词： | 二维Girsanov定理 指数O-U过程 双标的型期权 鞅方法 |
Pricing Bivariate European Mixed Options of Power Payoffs on Stocks Driven by Exponential 0 -U Process |
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| Huang Wu Xu Yun.Pricing Bivariate European Mixed Options of Power Payoffs on Stocks Driven by Exponential 0 -U Process[J].Mathematical Theory and Applications,2010(3):111-115. |
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| Authors: | Huang Wu Xu Yun |
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| Institution: | Huang Wu Xu Yun ( College of Mathematics and System Science, XinJiang University, Urumqi, 830046) |
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| Abstract: | The pricing problem which bivariate European mixed options of the power payoffs on stocks driven by exponential O-U process is discussed in this paper. Using the measure transformation and martingale method, the price of the analytic form is obtained. |
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| Keywords: | Two- dimensional Girsanov theorem Exponential O-U process Bivariate option Martingale method |
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