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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.
连续O-U过程下的欧式复杂任选期权定价
【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
【机 构】
：
南京师范大学商学院,南京师范大学数学科学学院
【出 处】
：
南京师大学报：自然科学版
【发表日期】
：
2018年2期
【基金项目】
：
The National Natural Science Foundation of China（61374080）.
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