次分数跳-扩散Vasicek随机利率下的重置期权定价

Sub-score Jump-diffusion Replacement Option Pricing under Vasicek Random Interest Rate

研究了标的资产价格过程满足次分数布朗运动与跳-扩散过程共同驱动的随机微分方程.根据次分数布朗运动随机分析理论,建立利率满足次分数Vasicek模型,利用保险精算法,研究此环境下重置期权定价问题,得到相应的重置期权定价公式.推广了已有的关于重置期权定价的相关结论.

The stochastic differential equation driven by sub fractional Brownian motion and jump diffusion process is studied.According to the stochastic analysis theory of sub fractional Brownian motion,the sub fractional Vasicek model of interest rate is established by using actuarial method,The reset option pricing problem under this environment is studied,and the corresponding reset option pricing formula is obtained.This paper generalizes the existing conclusions on the pricing of reset options.