应用数学2017，Vol.30Issue(3)：503-511,9.
次分数Vasicek随机利率模型下的欧式期权定价
European Option Pricing Under Subfractional Vasicek Stochastic Interest Rate Model
摘要
Abstract
In this article,the price of the European option is discussed through loosening the conditions of classical B-S model when assume that the interest rate is random fluctuations.As a carrier of the interest rate firstly.The price for the zero coupon bonds is given,and the mcaning of the market price of the interest rate risk is obtained.Secondly,by using the theory of portfolio hedge to structure the risk-free asset,the European option satisfies a partial differential equation driven by the sub-fractionai Brownian motion under stochastic interest rate model.Finally,the pricing formula is obtained afber turned it to the classical heat conduction equation thraugh uariable substitution.关键词
次分数布朗运动/零息票债券/随机利率/期权定价Key words
Sub-fractional Brownian motion/Zero coupon bond/Stochastic interest rate/Option pricing分类
数理科学引用本文复制引用
郭精军,张亚芳..次分数Vasicek随机利率模型下的欧式期权定价[J].应用数学,2017,30(3):503-511,9.基金项目
国家自然科学基金项目(71561017),甘肃省科技计划(145RJZA033)和兰州财经大学科研专项经费资助 （71561017）
