期刊文献+

Hull-White利率下有红利支付的O-U过程的幂型期权定价

Pricing of Power Options under Ornstein-Uhlenbeck Process and Hull-White Interest Rate with Continuous Dividend
分享 导出
摘要 考虑到标的资产(股票)价格和利率的随机性及均值回复特征,采用Hull-White模型刻画利率的变化规律,指数Ornstein-Uhlenbeck(O-U)过程刻画有红利支付的股票价格变化.利用计价单位转换的方法研究了基于以上模型且有连续支付红利情况下的一类幂型欧式期权定价问题,并得到了其定价公式. Consindering the randomness and mean-reversion of interest rate and underlying asset, the changing rules of interest rate and stock price with continuous dividend are discribed by Hull-White interest model and exponential Ornstein-Uhlenbeck(O-U) process respectively. The pricing problem of a class of power European option is studied by using the changes of numeraire method based on the above models and the continuous dividend. Finally, the pricing formulas of power European options are obtained.
作者 曹雯雯 王向荣 CAO Wen-wen1, WANG Xiang-rong1,2 (1. College of Mathematics and System Science, Shandong University of Science and Technology, Qingdao 266590, China) (2. Institute of Financial Engineering, Shandong University of Science and Technology, Qingdao 266590, China)
出处 《数学的实践与认识》 北大核心 2017年第21期122-127,共6页 Mathematics in Practice and Theory
基金 山东科技大学研究生创新基金(SDKDYC170345)
关键词 幂型期权 Hull-White利率模型 ORNSTEIN-UHLENBECK过程 计价单位转换 power options Hull-White interest rate Ornstein-Uhlenbeck process changes ofnumeraire
作者简介 通信作者
  • 相关文献

参考文献8

二级参考文献81

共引文献63

投稿分析

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部 意见反馈