计算机与数字工程2019，Vol.47Issue(3)：503-507,5.DOI:10.3969/j.issn.1672-9722.2019.03.003
双分数Vasicek利率环境下脆弱期权定价
Vulnerable Option Pricing in Bi-fractional Vasicek Interest Rate Environment
摘要
Abstract
It is assumed that the stock prices,the firm value and corporate liability satisfy the stochastic differential equation driven by bi-fractional Brownian,and interest rate satisfies Vasciek. The financial mathematics model is built,and the pricing prob?lem of the vulnerable option is discussed by the theory of bi-fractional Brownian. The pricing formula of the vulnerable option is ob?tained by the actuarial approach.关键词
Vasicek利率/双分数布朗运动/保险精算方法/脆弱期权Key words
Vasicek rate/bi-fractional Brownian motion/actuarial approach/vulnerable option分类
管理科学引用本文复制引用
王瑶,薛红..双分数Vasicek利率环境下脆弱期权定价[J].计算机与数字工程,2019,47(3):503-507,5.基金项目
国家自然科学基金(编号:11601410) （编号:11601410）
陕西省自然科学基础研究计划项目(编号:2016JM1031)资助. （编号:2016JM1031）
