| 随机利率下服从分数跳-扩散模型的重置期权定价 |
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| 引用本文： | 秦进,邓小华.随机利率下服从分数跳-扩散模型的重置期权定价[J].数学的实践与认识,2012,42(19):1-9. |
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| 作者姓名： | 秦进 邓小华 |
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| 作者单位： | 1. 遵义师范学院数学系,贵州遵义,564302
2. 棠湖中学外语实验学校,四川成都,610225 |
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| 摘 要： | 假设利率服从扩展的Vasicek模型,标的资产价格服从分数跳-扩散过程,利用无套利理论与多元正态分布,导出了规定时间的重置期权的定价公式.
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| 关 键 词： | 重置期权 随机利率 分数布朗运动 跳-扩散过程 |
Pricing of Reset Option Under Fractional Jump-Diffusions and Stochastic Rate |
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| QIN Jin
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DENG Xiao-hua.Pricing of Reset Option Under Fractional Jump-Diffusions and Stochastic Rate[J].Mathematics in Practice and Theory,2012,42(19):1-9. |
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| Authors: | QIN Jin DENG Xiao-hua |
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| Institution: | 1.Department of Mathematics,Zunyi Normal College,Zunyi 563002,China) (2.Foreign Language Experimental School Affiliated to Tanghu Middle School,Chengdu 610225,China) |
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| Abstract: | Under the assumptions that the exchange rate and the price of underlying asset obey an expanding Vesick model and a fractional jump-diffusions process respectively,this paper obtained the pricing formulas of European call option and the reset option with predetermined dates by means of the no-arbitrage theory and multivariable normal distribution. |
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| Keywords: | Reset option stochastic rate fractional Brownian motion jump-diffusions |
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