双分数Ornstein-Uhlenbeck过程下欧式幂型期权定价模型

The power European option pricing model under bi-fractional Ornstein-Uhlenbeck process

讨论股票价格遵循双分数Ornstein-Uhlenbeck过程下的欧式幂型期权定价问题.假设股票价格遵循双分数Ornstein-Uhlenbeck过程且在预期收益率、无风险利率和波动率均为常数的情况下,建立双分数Ornstein-Uhlenbeck过程下金融市场模型.利用保险精算方法,推导双分数Ornstein-Uhlenbeck过程下欧式幂型期权和欧式上封顶及下保底幂型期权定价公式.

The pricing problem of the power European option is discussed in bi-fractional Ornstein-Uhlenbeck process.Suppose that stock price follows bi-fractional Ornstein-Uhlenbeck process,and the expected return rate,risk-free interest rate,and volatility rate are constants,the financial market model in the bi-fractional Ornstein-Uhlenbeck process is established.Based on the actuarial mathematics approoch,the pricing formula of European power option and Europeon capped power option in bi-fractional Ornstein-Uhlenbeck environment are obtained.