journal6 ›› 2006, Vol. 27 ›› Issue (4): 9-12.
• 数学 • 上一篇 下一篇
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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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https://zkxb.jsu.edu.cn/CN/Y2006/V27/I4/9