摘要
本文讨论了股票价格服从指数O-U过程的幂型支付的双标的欧式混合期权的定价问题。利用测度变换和鞅方法,得到了其解析形式的定价公式。
The pricing problem which bivariate European mixed options of the power payoffs on stocks driven by exponential O-U process is discussed in this paper. Using the measure transformation and martingale method, the price of the analytic form is obtained.
出处
《数学理论与应用》
2010年第3期111-115,共5页
Mathematical Theory and Applications
基金
新疆维吾尔自治区高校科研基金(FSRPHEXJ:XJEDU2008I09)资助
