随机利率下O-U过程的幂型欧式期权定价

Pricing of power European options under Ornstein-Uhlenbeck process and stochastic rate

文章考虑了标的资产价格和利率的随机性与均值回复性,采用了Vasicek模型和指数O-U过程来刻画利率和股票价格的变化规律,在随机利率环境下,利用保险精算方法,研究了股票价格遵循指数O-U过程的幂型欧式期权的定价问题,得到了幂型欧式期权的定价公式。

In this paper ,the randomness and mean‐reversion of interest rate and underlying asset are considered ,and the changing rules of interest rate and stock price are described by applying Vasicek model and exponential Ornstein‐Uhlenbeck （O‐U ） process .The pricing problem of power European options is studied by using the actuarial method under the circumstances of the exponential O‐U process and stochastic interest rate .Finally ,the pricing formulas of power European options are ob‐tained .