股票价格遵循指数O-U过程重设型期权定价.pdf

70  30        O-U    O-U Æ ℄ 1.  (1.2) t ( 2.1) () 2.  (1.5) t ( 3.1, 3.2) () 3.  (1.5) t ( 4.1, 4.6, 4.7, 4.3) ( ) 4.  (1.5) Girsanov Æ Girsanov t ( 5.2, 5.4) () O-U Girsanov I Abstract In the middle of seventies of last century, option as a financial derivative product occurs in Amercian finacial market.Since then, it has been developed rapidly as an effective means against risk and speculating. In order to attract the interest of invertors, many financial companies gave rise to different type of options. In recent years, as financial markets continued to develop and improve ,the standard options do not satisfy market demand.To meet the needs of the financial market and increase financial market risk management tools, has produced a variety of exotic options.Exotic options performance variation in the terms and conditions and the occurrence of certain changes in its non- standard options on the complexity of the decision;the other hand, the prices of options depend on the stock price fluctuation, therefore,Stock prices also decided to follow the model of the complex nature of the complexity of the pricing options.Empirical studies demonstrate that the expected rate of return is often volatile , it may be dependent on the function of time and the stock price, therefore,The pricing of reset options by Exponenti