南华大学学报（自然科学版）2017，Vol.31Issue(1)：68-71,76,5.
随机利率下一种改进的几何型重置期权定价
Pricing the Improved Geometric Reset OptionUnder Stochastic Interest Rate
摘要
Abstract
Through using the geometric average of the stock price instead of the option's settle price,a new geometric reset option has been designed,assuming that the interest rate is stochastic and the stock price obeys the Ornstein-Uhlenback process,in view of the martingale method,the pricing formula of the new option has been gotten.关键词
重置期权/亚式期权/O-U过程/随机利率Key words
reset option/Asian option/the Ornstein-Uhlenback process/stochastic interestrate分类
管理科学引用本文复制引用
刘邵容,蔡秋娥,刘冬元..随机利率下一种改进的几何型重置期权定价[J].南华大学学报（自然科学版）,2017,31(1):68-71,76,5.基金项目
衡阳市科技计划项目(2015KJ01 （）
2014KJ05) （）
