在线阅读 --自然科学版 2020年6期《随机利率下基于O-U过程的再装期权保险精算定价》
随机利率下基于O-U过程的再装期权保险精算定价--[在线阅读]
张晓倩, 刘会利
河北师范大学 数学科学学院, 河北 石家庄 050024
起止页码: 479--485页
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.004
摘要
首先给出了再装期权的保险精算价格的定义,改进了以往研究成果中的定义公式.然后在假定标的资产价格服从指数Ornstein-Uhlenbeck(O-U)过程,利率服从Vasicek利率模型的基础上,利用随机分析知识获得了再装期权的保险精算价格公式.

Actuarial Pricing of Reload Option Under Stochastic Interest Rate Based on O-U Process
ZHANG Xiaoqian, LIU Huili
School of Mathematical Sciences, Hebei Normal University, Hebei Shijiazhuang 050024, China
Abstract:
We begin with introducing the actuarial price definition of reload option,which improves the pricing formula in previous research results.Then,based on the assumption that the underlying asset price follows the Ornstein-Uhlenbeck (O-U) process and the interest rate is subject to the Vasicek interest rate model,we obtain the actuarial pricing formula of reload option by the knowledge of stochastic calculus.

收稿日期: 2020-07-20
基金项目: 国家自然科学基金(11501164);河北省自然科学基金(A2019205299);河北省教育厅基金(QN2019073);河北师范大学重点基金(L2019Z01)

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