期刊信息
- 刊名： 河北师范大学学报（自然科学版）Journal of Hebei Normal University (Natural Science)
- 主办： 河北师范大学
- ISSN： 1000-5854
- CN： 13-1061/N
- 中国科技核心期刊
- 中国期刊方阵入选期刊
- 中国高校优秀科技期刊
- 华北优秀期刊
- 河北省优秀科技期刊
随机利率下基于O-U过程的再装期权保险精算定价
- 河北师范大学 数学科学学院, 河北 石家庄 050024
-
DOI：10.13763/j.cnki.jhebnu.nse.2020.06.004
Actuarial Pricing of Reload Option Under Stochastic Interest Rate Based on O-U Process
摘要/Abstract
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.
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.
关键词
Key words：
reload option
;
O-U process
;
stochastic interest rate
;
actuarial pricing
参考文献 11
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