支付红利的O-U过程的亚式期权定价

江汉大学学报（自然科学版） ›› 2013, Vol. 41 ›› Issue (1): 31-34.

支付红利的O-U过程的亚式期权定价

赵攀

皖西学院应用数学学院，安徽六安 237012

出版日期:2013-02-12 发布日期:2013-12-27
作者简介:赵攀（1980—），男，讲师，硕士，研究方向：应用概率统计、数理金融。
基金资助:
安徽省教学研究重点项目（20100874）；安徽省高校优秀青年基金项目（2012SQRL196）

Model of Asian Option Pricing Driven by O-U Process with Dividend Payment

ZHAO Pan

School of Applied Mathematics，West Anhui University，Liuan 237012，Anhui，China

Online:2013-02-12 Published:2013-12-27

摘要/Abstract

摘要： 利用鞅和随机分析方法对带有支付红利的指数O-U过程的亚式期权进行了研究，得到了支付红利的指数O-U过程的几何平均亚式看涨及看跌期权的定价公式。

关键词: O-U过程, 期权定价, 鞅方法, 亚式期权

Abstract: Asian option with dividend payments，driven by O-U process were studied by using the martingale and stochastic analysis method. The pricing formulas of the geometric average asianput and call option are obtained，under the circumstance that the stock price is driven by an expo?nential O-U process and has dividend payment.

Key words: O-U process, option pricing, martingale method, Asian option

中图分类号:

O213
F830.91

赵攀. 支付红利的O-U过程的亚式期权定价[J]. 江汉大学学报（自然科学版）, 2013, 41(1): 31-34.

ZHAO Pan. Model of Asian Option Pricing Driven by O-U Process with Dividend Payment[J]. Journal of Jianghan University(Natural Science Edition), 2013, 41(1): 31-34.