| 刘邵容,蔡秋娥,刘冬元.随机利率下一种改进的几何型重置期权定价[J].南华大学学报(自然科学版),2017,31(1):68~71, 76.[LIU Shao-rong,CAI Qiu-e,LIU Dong-yuan.Pricing the Improved Geometric Reset OptionUnder Stochastic Interest Rate[J].Journal of University of South China(Science and Technology),2017,31(1):68~71, 76.] |
| 随机利率下一种改进的几何型重置期权定价 |
| Pricing the Improved Geometric Reset OptionUnder Stochastic Interest Rate |
| 投稿时间：2016-10-31 |
| DOI： |
| 中文关键词: 重置期权 亚式期权 O-U过程 随机利率 |
| 英文关键词:reset option Asian option the Ornstein-Uhlenback process stochastic interestrate |
| 基金项目:衡阳市科技计划项目(2015KJ01;2014KJ05) |
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| 中文摘要: |
| 通过将有效期内股价的几何平均值作为期权结算价格,创建了一种改进的几何型重置期权模型,当利率随机时,利用等价鞅方法,推导了该期权模型在Ornstein-Uhlenback过程下的定价公式. |
| 英文摘要: |
| Through using the geometric average of the stock price instead of the option’s settle price,a new geometric reset option has been designed,assuming that the interest rate is stochastic and the stock price obeys the Ornstein-Uhlenback process,in view of the martingale method,the pricing formula of the new option has been gotten. |
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