随机利率混合分数布朗运动模型下的再装期权定价

Pricing reload option under stochastic interest rate and mixed fractional Brownian motion environment

在假定标的资产价格服从混合分数布朗运动驱动的随机微分方程以及利率服从Vasicek利率模型的基础上,利用鞅理论构建数学模型,借助测度变换的方法获得了再装期权的定价公式.

In this paper we assume that the underlying asset price follows a stochastic differential equation driven by mixed fractional Brownian motion process and the interest rate follows the Va-sicek’s interest rate framework.Applying martingale theory and Girsanov’s Theorem we construct the mathematical model and obtain the pricing formula for reload option by the approach of the change of measure.