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在線閱讀 --自然科學版 2020年6期《隨機利率下基于O-U過程的再裝期權保險精算定價》
隨機利率下基于O-U過程的再裝期權保險精算定價--[在線閱讀]
張曉倩, 劉會利
河北師范大學 數學科學學院, 河北 石家莊 050024
起止頁碼: 479--485頁
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.004
摘要
首先給出了再裝期權的保險精算價格的定義,改進了以往研究成果中的定義公式.然后在假定標的資產價格服從指數Ornstein-Uhlenbeck(O-U)過程,利率服從Vasicek利率模型的基礎上,利用隨機分析知識獲得了再裝期權的保險精算價格公式.

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
基金項目: 國家自然科學基金(11501164);河北省自然科學基金(A2019205299);河北省教育廳基金(QN2019073);河北師范大學重點基金(L2019Z01)

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