随机利率Vasicek模型下的欧式缺口期权的定价研究
수궤리솔Vasicek모형하적구식결구기권적정개연구
Study on European Gap Option Pricing under Vasicek Interest Rate Model
  • 万方数据
    大学数学 대학수학
    COLLEGE MATHEMATICS
    2012年 4期 98-101 ,共4页

    张艳%周圣武%韩苗%索新丽

    장염%주골무%한묘%색신려

    Vasicek利率模型%缺口期权%期权定价 Vasicek利率模型%缺口期權%期權定價
    Vasicek리솔모형%결구기권%기권정개
    Vasicek interest rate model%gap option%option pricing
    研究随机利率Vasicek模型下欧式缺口期权的定价问题,利用偏微分方程方法给出了欧式缺口看涨期权和看跌期权的定价公式,并且是Vasicek利率模型下标准欧式期权定价公式的一种推广.
    연구수궤리솔Vasicek모형하구식결구기권적정개문제,이용편미분방정방법급출료구식결구간창기권화간질기권적정개공식,병차시Vasicek리솔모형하표준구식기권정개공식적일충추엄.
    The European gap option pricing problem under Vasicek interest rate model was studied. By use of the PDE method, the pricing formulas of European gap call option and European gap put option were obtained respectively. What＇s more, these pricing formulas are generalization of European standard option pricing formulas.
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