双分数Vasicek利率环境下的篮子期权定价

Pricing Basket Option in Bi-fractional Vasicek Interest Rate Environment

在双分数布朗运动环境下,讨论具有随机利率的欧式几何篮子期权定价问题。假设股票价格遵循双分数布朗运动驱动的随机微分方程,随机利率服从Vasicek模型,预期收益率和波动率均为常数的情况下,利用保险精算方法,推导出双分数布朗运动环境下具有随机利率的欧式几何篮子期权定价公式。

The pricing problem of geometric European basket option with Vasicek interest rate is discussed in bi-fractional Brownian motion. Assuming that stock price follows the stochastic differential equations that driven by bi-fractional Brownian motion,the interest rate satisfies Vasicek interest rate model,the expected return rate and the volatility are constant,and the financial market model in the bi-fractional Brownian motion environment is established. The pricing formula for geometric European basket option under stochastic interest rate in bi-fractional Brownian motion environment is obtained by the insurance actuary approach.