摘要
假设股票价格遵循能反映股票预期收益率波动变化的指数O-U过程,利用期权定价的鞅方法和具有随机寿命的欧式期权的定价公式,得到了指数O-U过程随机模型下具有随机寿命的2种奇异期权的定价公式。
In this paper,we assume that stock-price process is driven by Ornstein-Uhlenback process,which can reflect fluctuation in the appreciation rate of the stock.Under the stochastic model of exponential Ornstein-Uhlenback process,the pricing formulas of two kinds of exotic options with stochastic lives are obtained by martingale method and the pricing formula of the European option with stochastic lives.
出处
《安庆师范学院学报（自然科学版）》
2011年第1期38-41,共4页
Journal of Anqing Teachers College(Natural Science Edition)
基金
宿州学院自然科学研究项目(2009yzk20)
宿州学院硕士科研启动基金(2008yss17
2008yss24)资助
