次扩散Vasicek利率模型下的期权定价

Option pricing based on the Vasicek short rate model in subdiffusive regime

把利率变化的常值周期性纳入到期权定价模型中,研究了次扩散Vasicek利率模型下的欧式期权定价问题,得到了此模型下欧式看涨期权所满足的Black-Scholes方程,并给出了欧式期权的定价公式及看涨看跌期权的平价公式。

This paper incorporates the constant period value of the interest rate in option valuation model and does research into the op- tion pricing of European option based on the Vasicek short rate model. The Black - Scholes equation which European call options satisfy is derived and the formula of European option and call - put parity formula are given.