纺织高校基础科学学报Issue(1)：62-71,10.DOI:10.13338/j.issn.1006-8341.2015.01.015
分数Vasicek利率下创新重置期权定价
Pricing innovative reset options under ractional Vasicek interest rate
摘要
Abstract
Assume that stock price process obeys fractional jump‐diffusion process ,and interest rate satisfies the fractional Vasicek model ,the innovative reset options are discussed and the pricing formula are obtained by the fractional jump‐diffusion process theory and actuarial meth‐od .T he results of innovative reset option are generalized .关键词
重置期权/保险精算方法/分数跳-扩散过程/分数Vasicek利率Key words
reset options/actuarial method/fractional jump-diffusion process/fractional Va-sicek model分类
数理科学引用本文复制引用
薛红,王媛媛..分数Vasicek利率下创新重置期权定价[J].纺织高校基础科学学报,2015,(1):62-71,10.基金项目
陕西省教育厅自然科学专项基金资助项目 （）
