O-U过程下欧式浮动履约价的回望期权定价

European Floating Strike Lookback Option Valuation Based on Ornstein-Uhlenback Process

利用指数O-U过程,研究了一类典型的路径依赖型奇异期权——欧式浮动履约价的回望期权定价问题.在无风险利率依赖于时间参数的情况下,首先利用概率测度变换和鞅分析知识,研究了欧式浮动履约价的回望期权定价模型,最后分别给出了欧式浮动履约价的看涨回望期权和看跌回望期权定价公式的显式解.

Using the exponential Ornstein-Uhlenback process,a typical path-dependent exotic lookback option i. e. European floating strike price of the lookback option valuation problem, is discussed. In case that the riskfree rate depends on the time parameter, the pricing model for the European floating strike price of the lookback option is studied by means of the probability measure transformation and the martingale analysis. Then the explicit solutions of floating strike lookback call option price formula and lookbaek put option price formula are shown respectively.