Journal of applied mathematics & informatics

한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
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BARRIER OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE

  • Sun, Yu-dong (Department of Applied Mathematics, Northwestern Polytechnical University) ;
  • Shi, Yi-min (Department of Applied Mathematics, Northwestern Polytechnical University) ;
  • Gu, Xin (Department of Applied Mathematics, Northwestern Polytechnical University)
  • 투고 : 2010.11.13
  • 심사 : 2011.03.10
  • 발행 : 2011.09.30
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초록

In this study, assume that the stock price obeys the stochastic differential equation driven by mixed fractional Brownian motion, and the short rate follows the Vasicek model. Then, the Black-Scholes partial differential equation is held by using fractional Ito formula. Finally, the pricing formulae of the barrier option are obtained by partial differential equation theory. The results of Black-Scholes model are generalized.

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참고문헌

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