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首页> 外文期刊>International Journal of Theoretical and Applied Mathematics >Pricing and Analysis of European Chooser Option Under The Vasicek Interest Rate Model
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Pricing and Analysis of European Chooser Option Under The Vasicek Interest Rate Model

机译：Vasicek利率模型下欧洲选择者选项的定价与分析

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摘要

Based on the modification of some assumptions in the traditional Black-Scholes option pricing model, we construct a model that is closer to the real financial market in this paper. That is to say, in order to make up for the shortages of using the standard Brownian motion to describe the underlying asset price, we use fractional Brownian motion to replace the standard Brownian motion in the traditional Black-Scholes model. At the same time, we assume that the interest rate satisfies the Vasicek interest rate model under fractional Brownian motion. Under the above market model, we use the stochastic analysis method under fractional Brownian motion to obtain the pricing formulae of European simple option and complex option, which generalize the existing conclusions. It is not only can be closer to the actual financial market but also make the research more practical. In addition, since the sensitivity analysis of options refers to the sensitivity or response of options to the change of its determinants, we use numerical methods to analyze the impact of the stock initial price, the chooser date and Hurst parameter on the price of European complex chooser option, which not only verifies the rationality of the pricing formula but also has guiding value for option trading.
机译：基于传统黑人学术选项定价模型的一些假设的修改，我们构建了一个更接近本文实际金融市场的模型。也就是说，为了弥补使用标准布朗运动的短缺来描述潜在的资产价格，我们使用分数布朗动作来取代传统的黑人模型中的标准布朗运动。与此同时，我们假设利率满足了分数布朗议案下的血管探测利率模型。在上述市场模型下，我们在分数布朗运动下使用随机分析方法，以获得欧洲简单选择和复杂选项的定价公式，这概括了现有的结论。它不仅可以更接近实际的金融市场，还可以使研究更加实用。此外，由于期权的敏感性分析是指选择对其决定因素的改变的敏感性或反应，我们使用数值方法来分析股票初始价格，选择者日期和赫尔斯特参数对欧洲复杂的价格的影响选择器选项，不仅验证定价公式的合理性，而且还具有期权交易的指导价值。

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