| Vasicek随机利率模型下欧式期权定价的Mellin变换法 |
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| 引用本文：孙 娇 娇.Vasicek随机利率模型下欧式期权定价的Mellin变换法[J].经济数学,2019,(3):21-26 |
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| 中文摘要:运用Feynman-Kac公式和偏微分方程法得到Vasicek随机利率模型下的零息债券价格公式．利用△-对冲方法建立该模型下欧式期权价值满足的偏微分方程模型，并用Mellin变换法求解该偏微分方程，最终得到欧式期权定价公式．从数值算例的结果可以看出Mellin变换法的有效性以及不同参数对期权价值的影响． |
| 中文关键词:金融数学 Mellin变换法 Vasicek随机利率 偏微分方程 |
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| Mellin Transform Method For European Option Pricing with Vasicek Stochastic Interest rate |
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| Abstract:The formula of zero coupon bond price with Vasicek stochastic interest rate is obtained by using Feynman-Kac formula and partial differential equation method. Based on Δ-hedging method，a partial differential equation model satisfied by European option value is established. Then the Mellin transform techniques are used to solve the partial differential equation. Finally, a closed form solution for the European option is obtained. The numerical results show the effectiveness of Mellin transform and the influence of different parameters on the value of option． |
| keywords:Financial Mathematics Mellin Transform Method Vasicek Stochastic Interest Rate Partial Differential Equation |
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