摘要
在市场是完全的并且无套利的环境下,假定期权价格服从指数O-U过程的基础上,给出了商品互换的定价公式;在等价鞅测度下,得出商品互换期权的定价公式。
Under the hypohtesis of no arbitrage and underlying asset price submitting to Exponential Ornstein-Uhlenback Process,we obtain the price of commodity swaps and options on commodity swaps.
关键词
互换期权
指数O-U过程
等价鞅测度
Options on commodity swaps
Exponential Ornstein-Uhlenback Process
Equivalent martingale measure
