| 随机利率Vasicek模型下的欧式缺口期权的定价研究 |
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| 引用本文： | 张艳,周圣武,韩苗,索新丽.随机利率Vasicek模型下的欧式缺口期权的定价研究[J].大学数学,2012(4):98-101. |
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| 作者姓名： | 张艳 周圣武 韩苗 索新丽 |
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| 作者单位： | 中国矿业大学理学院 |
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| 摘 要： | 研究随机利率Vasicek模型下欧式缺口期权的定价问题,利用偏微分方程方法给出了欧式缺口看涨期权和看跌期权的定价公式,并且是Vasicek利率模型下标准欧式期权定价公式的一种推广.
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| 关 键 词： | Vasicek利率模型 缺口期权 期权定价 |
Study on European Gap Option Pricing under Vasicek Interest Rate Model |
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| Zhang Yan,Zhou Sheng-wu,Han Miao,Suo Xin-li.Study on European Gap Option Pricing under Vasicek Interest Rate Model[J].College Mathematics,2012(4):98-101. |
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| Authors: | Zhang Yan Zhou Sheng-wu Han Miao Suo Xin-li |
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| Institution: | (College of Science,China University of Mining and Technology,Xuzhou 221116,China) |
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| Abstract: | The European gap option pricing problem under Vasicek interest rate model was studied.By use of the PDE method,the pricing formulas of European gap call option and European gap put option were obtained respectively.What’s more,these pricing formulas are generalization of European standard option pricing formulas. |
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| Keywords: | Vasicek interest rate model gap option option pricing |
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