摘要
本文在风险中性定价原则下,得到了股价服从指数O-U(Ornstein-Uhlenbeck)过程的n个重置日期m个执行价格的重置期权定价,又在利率服从扩展Vasicek模型下,得到了n个重置日期m个执行价格的重置期权定价.
In this paPer, under the risk neutral pricing model,the pricing formulas of reset options with m strike resets and n pre - decided reset date are obtained for the stock whose price process is driven by exponential Omstein - Uhlenbeck process. And pricing formula for the reset options with m strike resets and n pre - decided reset date on a stock whose price process is driven by exponential O- U process when the interest rate follows an extended vasicek＇ s model is obtained.
出处
《数学理论与应用》
2011年第4期85-90,共6页
Mathematical Theory and Applications
基金
自治区高效科研计划重点项目
关键词
指数O-U过程
多点重置期权
Girsanov’s定理
Exponential Omstein - Uhlenbeck Process Multiple strike resets and reset dates Girsanov＇ s theorem
