Shares Driven By Ou Model Barrier Options Pricing Research

The standard option can't meet the practical needs of the changing financial market with the development of financial market, So there have been a lot of new derivatives options in financial market, and barrier option is one of them. At the same time, barrier option is cheaper than the standard option and widely used in all kinds of financial transactions and risk management. It is liked by both the market and the investors. How to price barrier option reasonably has important practical significance for the financial markets and investors.In this paper, we assume that stock price is subject to the index O-U model on the basis of classical Black-Scholes model.When interest rate is constant, we get partial differential equations that satisfied barrier options, and use Monte Carlo method to simulate down-and-out put option for sensitivity analysis. When interest rates further follows geometric Brownian motion, we use partial differential equation method to deduce down-and-out call option's pricing formula.