指数O-U过程及其数字特征

Exponential Ornstein-Uhlenbeck Process and its Numerical Charateristics

在期权定价中,标的资产的价格变化模型的选择是非常重要的.其选择既要与现实逼近,又要易于模拟.研究了[1]中所使用一类指数O-U过程的推广,给出了其解析解并具体算出了其数字特征,最后指出其极限情形就是我们熟悉的几何布朗运动.

In option pricing, it is very important to choose the model of underlying asset. Its choice is not only similar to the reality, but also easy to be simulated. In this paper, we focuses on the extended form of a class of O-U process used in [ 1 ], presents its analytical solution and specifically calculates its numerical characteristics, at last points out that its limit process is our familiar process-geometric Brownian motion.