双分数Vasicek利率下重置期权定价

Reset Option Pricing in Bi-fractional Vasicek Rate Environment

假定股票价格满足双分数布朗运动驱动的随机微分方程,利率满足双分数Vasicek利率模型,根据双分数布朗运动随机分析理论及保险精算方法,讨论了重置期权的定价问题,建立相应的金融市场模型并获得了双分数Vasicek利率下重置期权定价公式.

Assume that stock price follows the stochastic differential equation driven by bi‐fractional Brownian motion , and interest rate satisfies Vasicek rate model which driven by bi‐fractional Brownian motion ,the pricing problem of reset option is discussed using the stochastic analysis theory of bi‐fractional Brownian motion and the actuarial approach .The mathematical model of financial markets in the bi‐fractional Vasicek rate environment is established .The pricing formula of reset option in bi‐fractional Vasicek rate environment is obtained .