指数O-U过程下两种期权的保险精算法定价

The pricing of two kinds of options under exponential O-U process in actuarial approach

为了深入探讨保险精算法在期权定价中的应用,并使股票模型更加接近市场实际情况,采用能反映股票预期收益率波动变化的指数O-U(Ornstein-Uhlenback)过程刻画了股票价格的变化规律;并利用保险精算法获得了股票价格遵循指数O-U过程的认股权证和可转换债券的定价公式.

In order to study the pricing of options in actuarial approach method more deeply,and make the stock market model closer to the actual situation,an exponential Ornstein-Uhlenback process,which can reflect fluctuations of the appreciation rate of return,is used to denote the variation of the underlying stock＇s price.The pricing formulas of warrants and convertible bond under O-U process are obtained by means of the actuarial approach.