| 随机利率下服从分数O-U过程的欧式幂期权定价 |
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| 引用本文： | 邓小华,何传江,方知.随机利率下服从分数O-U过程的欧式幂期权定价[J].经济数学,2009,26(1):64-71. |
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| 作者姓名： | 邓小华 何传江 方知 |
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| 作者单位： | 重庆大学数理学院,400030 |
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| 基金项目： | 重庆市科委自然科学基金计划 |
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| 摘 要： | 该文考虑了利率和标的资产价格的随机性和均值回复行为,把扩展的Vasick模型和分数O-U过程进行组合,在随机利率环境下,研究了标的资产价格服从分数O-U过程的两类欧式幂期权定价问题,得到相应的定价公式,并给出了欧式幂期权的看涨.看跌平价关系.
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| 关 键 词： | 分数O-U过程 欧式幂期权 随机利率 平价关系 |
PRCING OF EURPEAN POWER OPTIONS UNDER FRACTIONAL O-U PROCESS AND STOCHASTIC RATE |
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| Deng Xiaohu,He Chuanjiang,Fang Zhi.PRCING OF EURPEAN POWER OPTIONS UNDER FRACTIONAL O-U PROCESS AND STOCHASTIC RATE[J].Mathematics in Economics,2009,26(1):64-71. |
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| Authors: | Deng Xiaohu He Chuanjiang Fang Zhi |
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| Institution: | College of Mathematics & Physics;Chongqing University;Chongqing;400030 |
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| Abstract: | Considering the randomness and mean-reversion of interest rate and underlying,asset,this paper incorporates an expanding Vasicek model and fractional O-U process to study the pricing of European power options.Pricing formulas of two kinds of European power options were obtained under the hypotheses that the underlying asset and interest rate obey to fractional O-U process and expanding Vasicek model,repectively.Besides,the Put-Call parity for European power options was presented. |
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| Keywords: | Fractional O-U process European power options stochastic rate Put-Call parity |
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