| 随机波动率下股价服从O-U过程的期权定价 |
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| 引用本文： | 朱利芝,马鹏,余君武.随机波动率下股价服从O-U过程的期权定价[J].经济数学,2010,27(2):86-89. |
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| 作者姓名： | 朱利芝 马鹏 余君武 |
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| 作者单位： | 湖南科技大学,数学与计算科学学院,湖南,湘潭,411201 |
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| 基金项目： | 湖南省教育厅资助项目 |
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| 摘 要： | 假设股票价格遵循指数O-U过程,利用随机分析中的鞅方法,得到了具有随机波动率的欧式期权的定价公式,推广了B-S模型.
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| 关 键 词： | 期权定价 随机波动率 O-U过程 |
Option Pricing under Stochastic Volatility and Stock Price Dirven by Ornstein-hlenback Process |
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| ZHU li zhi,MA Peng and YU Jun wu.Option Pricing under Stochastic Volatility and Stock Price Dirven by Ornstein-hlenback Process[J].Mathematics in Economics,2010,27(2):86-89. |
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| Authors: | ZHU li zhi MA Peng and YU Jun wu |
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| Institution: | (College of Mathematics and Computational Science,Hunan university of Science and Technology,Xiangtan,Hunan 411201,China) |
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| Abstract: | Under the assumption that stock price process is driven by Ornstein-Uhlenback process,the pricing formula of European option with Stochastic Volatility was derived by using martingale method,which generalizes the B-S model. |
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| Keywords: | option pricing stochastic volatility Ornstein-Uhlenback process |
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