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

• Mathematics • Previous Articles     Next Articles

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


  1. (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

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

WeChat e-book chaoxing Mobile QQ