股票价格遵循O-U过程期权定价的对偶鞅方法

A dual martingale method for the option pricing of the stock prices following the O-U process

讨论了股票价格遵循O-U(Ornstein-Uhlenback)过程的欧式期权的定价问题,考虑测度变换对于期权定价的影响,文章尝试用期权定价的新方法——对偶鞅方法推导出欧式期权的定价公式.

This paper discusses the stock prices following O - U （ Ornstein - Uhlenback） in connection with the European option pricing problems. With a consideration of the influence of measurement transformation on the op- tion pricing, it uses a new method, that is, a dual martingale method for the European option pricing formula.