摘要
讨论了股票价格过程遵循指数O-U过程的变异期权定价问题。利用Girsanov定理获得了指数O-U过程模型的唯一等价鞅测度。利用期权定价的鞅方法,得到了离散时间最大值期权和虹式期权的定价公式。
The problem of pricing exotic options on the stocks whose price processes are driven by exponential Ornstein-Ukleuback process is discussed. The unique equivalent martingale measure of this model is found by using the Girsanov theorem. Then, The pricing formulas of the option on a discrete maximum and Rainbow option are obtained with the help of the martingale approaches.
出处
《工程数学学报》
CSCD
北大核心
2004年第3期397-402,共6页
Chinese Journal of Engineering Mathematics
基金
国家自然科学基金(69972036)
河南省科委软科学基金(0313062400)
河南省高校骨干教师资助计划(88).
