随机利率下的期权定价(IJEM-V2-N3-12).pdfVIP

I.J. Engineering and Manufacturing, 2012,3, 82-89 Published Online June 2012 in MECS () DOI: 10.5815/ijem.2012.03.12 A vailable online at / ijem Option Pricing Under Stochastic Interest Rates Haowen Fang School of Business, Sun Yat-sen University, Guangzhou, Guangdong Province, China,510275 Abstract This paper reviews the research history of option pricing, then our model assumes that the interest rate subject to a given Vasicek stochastic differential equations, using option pricing by martingale method to study the stochastic interest rate model of European option pricing and obtain the pricing formula. Finally, we compare the differences between the standard European option pricing formulas and European option pricing formula under stochastic interest rate. Index Terms: Option Pricing; Stochastic Interest Rates; Vasicek model, Brownian motions © 2012 Published by MECS Publisher. Selection and/or peer review under responsibility of the Research Association of Modern Education and Computer Science . 1. Introduction Black, Scholes (1973) and Merton [2] (1973) showed in their seminal papers that a derivative security can be priced by creating a replicating portfolio, i.e. a portfolio of primitive securities which matches the payoff of the derivative at maturity. Since both the replication portfolio and the derivative offer the same payoff at maturity, they have to have the same price at any preceding time. Deviations from this equality lead to arbitrage possibilities. Hence, the pricing by duplication procedure inhibits arbitrage by construction. Since then the field of financial engineering has grown phenomenally. The Black– Scholes–Merton risk neutrality formulation of the option pricing theory is attractive bec