安庆师范学院学报：自然科学版2011，Vol.17Issue(3)：35-37,45,4.
利率服从Vasicek模型下的欧式期权定价
European Option Pricing under the Vasicek Model of the Interest Rate
王晶 1张兴永1
作者信息
- 1. 中国矿业大学理学院,江苏徐州221008
- 折叠
摘要
Abstract
Base on the stochastic nature of the rate,an explicit option pricing formula is obtained for European option.First of all,we derive the pricing formula for a riskless zero-coupon bond under the Vasicek mordel to enhance its accuracy,then we form a hedge portfolio consisting of the stock,the riskless bond,and the call to derive a stochastic differential equation,and solve its explicit solution.A numerical example is given for verifying the validity of the formula,and analyzing the effects of stochastic interest rate for European option pricing.关键词
期权定价/Vasicek模型/Black-Scholes定价模型/投资组合Key words
option pricing/vasicek model/black-stoles pricing model/portfolio分类
管理科学引用本文复制引用
王晶,张兴永..利率服从Vasicek模型下的欧式期权定价[J].安庆师范学院学报：自然科学版,2011,17(3):35-37,45,4.
