【摘要】 本文考虑在扩展的Vasicek模型和分数O-U过程驱动下的二元期权定价问题.运用拟鞅方法,得到了在随机利率情形下,股票价格在分数O-U过程驱动下的二元期权的定价公式.更多还原

【Abstract】 In this paper,we consider the pricing of a binary option driven by a generalized Vasicek model and a fractional O-U process,where the interest rate is assumed to be stochastic.A pricing formula is obtained by applying the quasi-martingale method.更多还原