哈尔滨商业大学学报（自然科学版）Issue(5)：621-625,5.
分数 Vasicek 利率模型下几种新型期权定价
Pricing some exotic options under fractional Vasicek interest rate
摘要
Abstract
This paper assumed that stock price process obeyed fractional jump -diffusion process, and interest rate satisfied the fractional Vasicek model .Some exotic options inclu-ding power option , cap option were discussed , and the pricing formulae were obtained by the fractional jump -diffusion process theory and actuarial method .The option pricing model was generalized .关键词
期权定价/保险精算方法/分数跳-扩散过程/分数Vasicek利率模型Key words
option pricing/actuarial method/fractional jump-diffusion process/fractional Vasicek model分类
管理科学引用本文复制引用
王媛媛,薛红..分数 Vasicek 利率模型下几种新型期权定价[J].哈尔滨商业大学学报（自然科学版）,2014,(5):621-625,5.基金项目
陕西省教育厅自然科学专项基金(12JK0862) （12JK0862）
