不连续随机利率下基于O-U过程的商期权定价

Quotient options pricing based on O-U process under discontinuous stochastic interest rate

在不连续随机利率和O-U环境下,研究具有不确定执行价格的商期权的定价问题.假设标的资产服从多维指数O-U过程,随机利率服从不连续的随机过程,利用带跳的Girsanov定理和测度变换的方法,推导出具有不确定执行价格的商期权的定价公式,从而推广了商期权的定价模型.

In this paper,we mainly study the pricing problem of quotient options with uncertain strike price in the environment of discontinuous stochastic interest rate and O-U process.Assuming that the underlying asset follows multidimensional exponential O-U process and stochastic interest rate is discontinuous stochastic process,we use Girsanov theorem with jump and measure transformation method to derive the pricing formula of quotient options with uncertain strike price.As a result,the pricing model of quotient options is extended.