摘要
假定股票价格过程服从分数跳-扩散过程,利率满足分数Vasicek利率模型,利用分数跳-扩散过程理论以及保险精算方法,讨论了创新重置期权的定价问题,获得了创新重置看涨期权定价公式,推广了关于创新重置期权定价的相关结果.
Assume that stock price process obeys fractional jump-diffusion process,and interest rate satisfies the fractional Vasicek model,the innovative reset options are discussed and the pricing formula are obtained by the fractional jump-diffusion process theory and actuarial method.The results of innovative reset option are generalized.
出处
《纺织高校基础科学学报》
CAS
2015年第1期62-71,共10页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅自然科学专项基金资助项目(12JK0862)
