期刊论文

Pricing the Improved Geometric Reset Option Under Stochastic Interest Rate

中文

南华大学学报(自然科学版)

1673-0062

2017

31

1

68-71+76

10.19431/j.cnki.1673-0062.2017.01.014

衡阳市科技计划项目（2015KJ01;2014KJ05）；

本校为第一机构

通过将有效期内股价的几何平均值作为期权结算价格,创建了一种改进的几何型重置期权模型,当利率随机时,利用等价鞅方法,推导了该期权模型在OrnsteinUhlenback过程下的定价公式.

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 mar- tingale method, the pricing for...