分数 Vasicek 利率模型下几种新型期权定价

摘要

This paper assumed that stock price process obeyed fractional jump -diffusion process, and interest rate satisfied the fractional Vasicek model .Some exotic options inclu-ding power option , cap option were discussed , and the pricing formulae were obtained by the fractional jump -diffusion process theory and actuarial method .The option pricing model was generalized .%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，讨论几种新型期权-欧式看涨幂型期权、欧式上封顶及下保底看涨幂型期权定价问题，获得了此类期权定价公式，将期权定价模型做了进一步推广。