基于CIR利率模型下的期权定价

Pricing European Options Based on CIR Interest Rates Model

讨论了利率演化服从CIR模型时,以零息债券作为计价单位,利用远期测度的方法给出欧氏看涨期权的定价公式,并给出其一般性的证明。

The pricing of European options is discussed when the evolution of interest rate under CIR model. Through zero-coupon bonds as numeraire and by the use of the forward measure, The European call options pricing formula and its general proof are got.