Journal of Jishou University(Natural Sciences Edition) ›› 2022, Vol. 43 ›› Issue (2): 23-30.DOI: 10.13438/j.cnki.jdzk.2022.02.005

• Mathematics • Previous Articles     Next Articles

Quotient Option Pricing Based on O-U Process withStochastic Interest Rate

LI Jingnan,LIU Huili   

  1. (School of Mathematical Sciences,Hebei Normal University,Shijiazhuang 050024,China)
  • Online:2022-03-25 Published:2022-07-14

Abstract: Assuming that the underlying asset follows a multi-dimensional exponential O-U process,and the interest rate follows the Ho-Lee model and the extended Vasicek model respectively.By the multi-dimensional Girsanov theorem and the method of measure transform,we derive the pricing formula of quotient options with uncertain strike price.

Key words: Ho-Lee model, Vasicek model, quotient options, measure transform, option pricing

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