随机利率情形下的梯式期权定价模型

摘要

It was assumed that the stock price and the bond price follow the stochastic differential equations driven by the Brownian motion.Using the joint distribution of the maximum and the terminal value of Brownian motion with drift and the risk neutral probability meas.ure,ladder option pricing formula under stochastic interest rate was obtained.%假设股票价格遵循布朗运动驱动下的随机微分方程,利用风险中性概率测度和在有限[0,T]区间上的具有漂移的布朗运动的最大值及其终值的联合分布,得到了随机利率情形下的梯式期权定价公式.