双分数随机利率下Ornstein-Uhlenback过程后定选择权定价模型

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英文篇名：Chooser Option Pricing Models under Bi-fractional Ornstein-Uhlenback Process 作者：袁敏 ; 薛红 英文作者：Yuan Min;Xue Hong;School of Science, Xi'an Polytechnic University; 关键词：双分数布朗运动 ; Vasicek模型 ; Ornstein-Uhlenback过程 ; 保险精算 ; 后定选择权 英文关键词：bi-fractional Brownian motion;;Vasicek model;;Ornstein-Uhlenback process;;actuarial mathematics;;chooser option 中文刊名：NXDZ 英文刊名：Journal of Ningxia University(Natural Science Edition) 机构：西安工程大学理学院; 出版日期：2018-12-05 16:58 出版单位：宁夏大学学报(自然科学版) 年：2019 期：v.40;No.162 基金：国家自然科学基金资助项目(11601410);; 陕西省自然科学基础研究计划资助项目(2016JM1031);; 西安工程大学研究生创新基金资助项目(chx201881) 语种：中文; 页：NXDZ201902005 页数：5 CN：02 ISSN：64-1006/N 分类号：26-30

摘要

研究了股票价格满足双分数布朗运动驱动的随机微分方程,期望收益率、波动率均为常数.根据双分数布朗运动随机分析理论,刻画了Vasicek模型和Ornstein-Uhlenback过程下股票价格的变化规律.运用保险精算方法,获得了欧式看涨期权和欧式看跌期权的定价公式及平价关系,并得到了后定选择权定价公式.
        The stochastic differential equations in which the stock price satisfies the bi-fractional Brownian motion is studied. Also, the expected rate and the volatility are constants. According to the stochastic analysis theory of bi-fractional Brownian motion, the variation law of stock price under Vasicek model and Ornstein-Uhlenback process is described. Using the actuarial method, the pricing formula and parity relationship of European call options and European put options are obtained, and the pricing formula of the chooser option is obtained.

引文

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