利率和股票价格遵循O-U过程的幂型期权定价

Pricing power-function options with stochastic interest rate under Ornstein-Uhlenback processes

在利率和股票价格均遵循O-U过程的假设下,利用无套利原理和偏微分方程方法得到了三类幂型期权的定价公式,并用数值模拟的方法考虑了随机利率对避险功能的影响。

By the arbitrage-free principle and the PDE approach, we obtained three pricing formulas for power-function options with stochastic interest rate under Ornstein-Uhlenback processes. In the end,we considered hedge parameters under stochastic interest rate.