Vasicek利率模型下极值期权的定价

journal6 ›› 2006, Vol. 27 ›› Issue (4): 9-12.

Vasicek利率模型下极值期权的定价

(1.湖南科技大学商学院,湖南湘潭 411201；2.湖南师范大学数学与计算机科学学院,湖南长沙 410081)

出版日期:2006-07-25 发布日期:2012-08-22
作者简介:周俊(1970-),女,湖南省湘潭市人,湖南科技大学商学院讲师,硕士,主要从事概率论和数理金融研究.

Option Pricing on Maximum or Minimum of Several Assets in Vacicek Model

(1.School of Business,Hunan University of Science and Technology,Xiangtan 411201,Hunan China;2.Department of Mathematics,Hunan Normal University,Changsha 410081，China)

Online:2006-07-25 Published:2012-08-22

摘要/Abstract

摘要：在短期利率服从Vasicek模型下,利用等价鞅方法和无套利定价理论,研究了n种资产的极值期权的定价问题，并给出其定价解析式;讨论了极大值与极小值期权的定价关系式，得出非随机利率下极值期权的定价公式，它是研究的一种特殊情况.

关键词： 随机利率, 极值期权, 鞅方法 , 无套利定价

Abstract: Applying the equivalent barrier option and the theory of no-arbitrary pricing,this paper studies the option pricing on maximum or minimum of risk assets in Vasicek model,and provides the pricing formula with the no-random rate and the relationship of European options on maximum or minimum of several assets in Vacicek model,which is a special study case.

Key words: random rate；option on the maximum or minimum of , risk assets；barrier option；no-arbitrary pricing

周俊, 杨向群. Vasicek利率模型下极值期权的定价[J]. journal6, 2006, 27(4): 9-12.

ZHOU Jun, YANG Xiang-Qun. Option Pricing on Maximum or Minimum of Several Assets in Vacicek Model[J]. journal6, 2006, 27(4): 9-12.

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