Hull-White模型下可延期交付的附息票债券期权定价

摘要

Coupon-Bonds Option Pricing Formula is obtained under Hull-White model by Using the method of PDE and approximation process price which is driven by fractional Brownian motion, and the close formula is also given.%　　在Hull-White模型下，利用标的资产服从逼近的分数布朗运动过程，结合分数布朗运动随机积分理论及偏微分方程方法，获得了可延期交付的附息票债券期权定价模型，并得到其解析式。