|Table of Contents|

Complex Chooser Option Pricing forContinuous O-U Process(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2018年02期
Page:
16-
Research Field:
·数学与计算机科学·
Publishing date:

Info

Title:
Complex Chooser Option Pricing forContinuous O-U Process
Author(s):
Dong Jiangjiang1; Gao Kai2; Liu Xueru2
(1.School of Business,Nanjing Normal University,Nanjing 210023,China)(2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
Keywords:
complex chooser option pricing; O-U process; martingale; measure transforms; insurance actuarial
PACS:
O211
DOI:
10.3969/j.issn.1001-4616.2018.02.004
Abstract:
We consider the complex chooser option pricing problem when the stock price follows a continuous generalized exponential Ornstein-Uhlenbeck process model. We suppose that risk interest rate,the expected return rate and volatility of the stock price are functions of time. We adopt the martingale approach to price the complex chooser option,the analytical pricing formula of the complex chooser options is derived. We also give the actuarial methods for pricing the complex chooser option and we derive the analytical pricing formula of the complex chooser options. Some conclusions are also given.

References:

[1] NIU S M,XU Y. The pricing of European complex chooser option in fractional jump-diffusion process[J]. Mathematical theory and applications,2012,32(2):39-46.
[2]KORN R,KORN E. Option pricing and portfolio optimization[M]. New York:American Mathematical Society,2000.
[3]IOANIS K,STEVEN E S. Brownian motion and stochastic calculus[M]. New York:Publishing Corporation,1990.
[4]STEIN E M,STEIN J C. Stock price distributions with stochastic volatility:an analytic approach[J]. The review of financial studies,1991,4:727-752.
[5]BLADT M,RYDBERG H T. An actuarial approach to option pricing under the physical measure and without market assumption[J]. Insurance:mathematics and economic,1998,22(1):65-73.

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Last Update: 2018-11-06