| 随机利率下基于O-U过程的欧式期权定价 |
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| 引用本文： | 孙丽娟.随机利率下基于O-U过程的欧式期权定价[J].荆门职业技术学院学报,2011,26(2):47-51. |
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| 作者姓名： | 孙丽娟 |
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| 作者单位： | 哈尔滨工程大学理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 为使股票模型和利率模型更贴近且反映金融市场实际情况,建立了股票价格遵循指数O-U（Ornstein-Uhlenback）过程模型的随机微分方程。由于假设利率是常数具有不合理性,此时假设利率不再是无风险利率,也会出现随机的变化。文章在随机利率服从Vasicek利率模型情况下,在风险中性的假设前提下,利用随机分析中Girsanov定理找到了O-U过程模型的唯一等价鞅测度,以期权定价的鞅方法及概率论的知识作为主要结果获得了欧式期权看涨及看跌的定价公式,为市场投资者理性投资分析提供指导和参考。
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| 关 键 词： | Vasicek模型 指数Ornstein-Uhlenback过程 欧式期权 鞅方法 期权定价 |
European Option Pricing Based on Ornstein-Uhlenback Process under Stochastic Interest Rate |
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| SUN Li-juan.European Option Pricing Based on Ornstein-Uhlenback Process under Stochastic Interest Rate[J].Journal of Jingmen Vocational Technical College,2011,26(2):47-51. |
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| Authors: | SUN Li-juan |
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| Institution: | SUN Li-juan(College of Science,Harbin Engineering University,Harbin,Heilongjiang,150001,China) |
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| Abstract: | In order to make the stock model and interest rate model closely reflect to the real situation of the financial market,the paper constructed the stochastic differential equation of the stock price whose process was driven by the exponential O-U process.Because it is irrational if interest rate is constant,the interest rate is not risky any more,it always appears to be stochastic changes.In some case that the stochastic interest rate is obeyed the Vasicek interest rate model and under the hypothetical premis... |
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| Keywords: | Vasicek model exponential Ornstein-Uhlenback process European option martingale method option pricing |
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