分数Vasicek利率模型下几种新型期权定价

Pricing some exotic options under fractional Vasicek interest rate

假定股票价格过程服从分数跳-扩散过程,利率满足分数Vasicek利率模型,利用分数跳-扩散过程理论以及保险精算方法,讨论几种新型期权-欧式看涨幂型期权、欧式上封顶及下保底看涨幂型期权定价问题,获得了此类期权定价公式,将期权定价模型做了进一步推广.

This paper assumed that stock price process obeyed fractional jump -diffusion process, and interest rate satisfied the fractional Vasicek model .Some exotic options inclu-ding power option , cap option were discussed , and the pricing formulae were obtained by the fractional jump -diffusion process theory and actuarial method .The option pricing model was generalized .