The Study Of Several Exotic Option Pricing Problem

Uncertain pricing is one core of financial mathematics study, It involves the theories of modern finance such as asset pricing theory, investment combination theory and risk management theories ,as well as stochastic analyzing and optimizing theory of modern mathematics. Effective investment. of risky assets is the key to financial derivative securities for the correct valuation.In order to adapt to the continuous development of financial markets, a variety of new options, exotic options came into being. We need to have singular conduct an in-depth study of options, in order to meet investor preferences better,avoid a small number of investors to manipulate the investment market, and improve the exotic options related to the theory further.This dissertation is intended to study some exotic option pricing problems, so as to establish the mathematic module of option pricing in fractional Brownian motion environment, and the creative of my work is :First, we get the pricing formula of double-barrier power options in fractional Brownian motion environment . Second, we get the pricing of function power asian geometric average options. Power option is an exotic option as well, it's payoff function is [ h ( S (T )) ? K ]+, here h ( x )= xα(α> 0is constant) . Third, we get the pricing of the general European call buy-options under the function Vasicek Interest Rate Model , By using Ito? formula, It is proved the pricing formulas and four corollary of the general European Call Buy-Options Under the function Vasicek Interest Rate Model with means of martingale method. Finally, we give the corresponding empirical analysis demonstrates, the effectiveness of option pricing formula, combining of Matlab software.