| 随机波动率下股价服从O-U过程的期权定价 |
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| 引用本文：朱利芝,马鹏,余君武.随机波动率下股价服从O-U过程的期权定价[J].经济数学,2010,27(2):86-89 |
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| 中文摘要:假设股票价格遵循指数O-U过程，利用随机分析中的鞅方法，得到了具有随机波动率的欧式期权的定价公式，推广了B-S模型. |
| 中文关键词:期权定价 随机波动率 O U过程 |
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| Option Pricing under Stochastic Volatility and Stock Price Dirven by Ornstein-hlenback Process |
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| Abstract:Under the assumption that stock price process is driven by Ornstein Uhlenback process,the pricing formula of European option with Stochastic Volatility was derived by using martingale method,which generalizes the B S model. |
| keywords:option pricing stochastic volatility Ornstein Uhlenback process |
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