随机利率下分数跳-扩散Ornstein Uhlenbeck期权定价模型
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引用本文:严惠云1,曹译尹2.随机利率下分数跳-扩散Ornstein Uhlenbeck期权定价模型[J].经济数学,2011,(2):75-80
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作者单位
严惠云1,曹译尹2 (1.安财经学院 统计学院陕西 西安7101002华北电力大学 经济管理系河北 保定071000) 
中文摘要:假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程,短期利率服从Hull White模型,建立了随机利率情形下的分数跳-扩散Ornstein Uhlenbeck期权定价模型,利用价格过程的实际概率测度和公平保费原理,得到了欧式看涨期权定价的解析表达式,推广了Black Scholes模型.
中文关键词:分数跳 扩散  Ornstein Uhlenbeck  随机利率
 
Stochastic Interest Rates Model for European Options under Fractional Jump Diffusion Ornstein Uhlenbeck Process
Abstract:Under the assumptions that stocks price process is driven by fractional diffusion process with non homogeneous Poisson process, and the risk less rate satisfies Hull White model, the fractional jump diffusion Ornstein Uhlenbeck model under stochastic interest rates was built. Using physical probabilistic measure of price process and the principle of fair premium, the pricing formula of European option was obtained,which generalizes the Black Scholes model.
keywords:fractional jump diffusion  Ornstein Uhlenbeck  stochastic interest rates
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