[1]董江江,高 凯,刘雪汝.连续O-U过程下的欧式复杂任选期权定价（英文）[J].南京师范大学学报(自然科学版),2018,41(02):16.[doi:10.3969/j.issn.1001-4616.2018.02.004]
　Dong Jiangjiang,Gao Kai,Liu Xueru.Complex Chooser Option Pricing forContinuous O-U Process[J].Journal of Nanjing Normal University(Natural Science Edition),2018,41(02):16.[doi:10.3969/j.issn.1001-4616.2018.02.004]
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连续O-U过程下的欧式复杂任选期权定价（英文）()
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《南京师范大学学报》（自然科学版）[ISSN:1001-4616/CN:32-1239/N]

卷:
第41卷
期数:
2018年02期
页码:
16
栏目:
·数学与计算机科学·
出版日期:
2018-06-30

文章信息/Info

Title:
Complex Chooser Option Pricing forContinuous O-U Process
文章编号:
ID:1001-4616(2018)02-0016-07
作者:
董江江1; 高 凯2; 刘雪汝2
(1.南京师范大学商学院,江苏 南京 210023)(2.南京师范大学数学科学学院,江苏 南京 210023)
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)
关键词:
复杂任选期权; O-U过程; 鞅; 测度变换; 保险精算
Keywords:
complex chooser option pricing; O-U process; martingale; measure transforms; insurance actuarial
分类号:
O211
DOI:
10.3969/j.issn.1001-4616.2018.02.004
文献标志码:
A
摘要:
研究股票价格服从连续广义指数O-U过程模型下的复杂任选期权的定价问题. 假设无风险利率、波动率都是时间的函数,首先采用鞅方法得到复杂任选期权的价格公式,然后用保险精算的方法,给出了复杂任选期权在任意时刻t的价格.
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.

参考文献/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.

备注/Memo

备注/Memo:
Received data:2017-11-16.Foundation item:The National Natural Science Foundation of China(61374080). Corresponding author:Liu Xueru,doctor,majored in financial mathematics. E-mail:327625941@qq.com
更新日期/Last Update: 2018-11-06