杭州师范大学学报（自然科学版）2016，Vol.15Issue(6)：650-655,6.DOI:10.3969/j.issn.1674-232X.2016.06.016
双分数Vasicek利率下重置期权定价
Reset Option Pricing in Bi-f ractional Vasicek Rate Envi ronment
摘要
Abstract
Assume that stock price follows the stochastic differential equation driven by bi‐fractional Brownian motion , and interest rate satisfies Vasicek rate model which driven by bi‐fractional Brownian motion ,the pricing problem of reset option is discussed using the stochastic analysis theory of bi‐fractional Brownian motion and the actuarial approach .The mathematical model of financial markets in the bi‐fractional Vasicek rate environment is established .The pricing formula of reset option in bi‐fractional Vasicek rate environment is obtained .关键词
双分数布朗运动/Vasicek利率/保险精算/重置期权Key words
bi-fractional Brownian motion/Vasicek rate model/actuarial approach/reset option分类
数理科学引用本文复制引用
薛红,董莹莹..双分数Vasicek利率下重置期权定价[J].杭州师范大学学报（自然科学版）,2016,15(6):650-655,6.基金项目
陕西省自然科学基金项目（2016JM1031）；陕西省自然科学基础研究计划资助项目（2015JM1034）；西安工程大学研究生创新基金项目（CX201613）；陕西省教育厅专项科研基金项目（14JK1299）． （）
