股票价格遵循Ornstein-Uhlenbeck过程的复合期权定价
고표개격준순Ornstein-Uhlenbeck과정적복합기권정개
Compound option pricing under Ornstein-Uhlenbeck process
  • 万方数据
    西安工程大学学报 서안공정대학학보
    JOURNAL OF XI'AN POLYTECHNIC UNIVERSITY
    2014年 3期 376-380,384 ,共6页

    杨淑彩%薛红%薛应珍

    양숙채%설홍%설응진

    复合期权定价%保险精算%Ornstein-Uhlenback过程 複閤期權定價%保險精算%Ornstein-Uhlenback過程
    복합기권정개%보험정산%Ornstein-Uhlenback과정
    compound option pricing%actuarial approach%Ornstein-Uhlenbeck process
    讨论了股票价格遵循指数O-U（Ornstein-Uhlenbeck）过程，收益率和利率为时间 t的函数的欧式复合期权定价问题，用保险精算方法，给出了复合期权定价公式。
    토론료고표개격준순지수O-U（Ornstein-Uhlenbeck）과정，수익솔화리솔위시간 t적함수적구식복합기권정개문제，용보험정산방법，급출료복합기권정개공식。
    T he pricing compound option on stock w hose price process is driven by exponential Ornstein-Uhlenbeck with the time-dependent parameters (expected rate and risk-less rate) is considered .By the actuarial approach ,the pricing formulas of compound option is obtained .
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