The Pricing Of Reload Option Under Stochastic Interest Rate In A Fractional Brown Motion Environment

Reload option is a way of compensation and encouragement to the operator, allow the holder to be locked in with the refill date profits may only be able to eliminate the risk for lower income at maturity characteristics, to a great extent enrich the financial markets.Since been put forward, the study of the option is emerging. Meanwhile, The Fractional Brown motion has the long range correlation, and Stock price are influenced by various factors as well some correlation properties and dependence properties. Therefore, Fractional Brown motion can be close to describe the actual financial markets.In this paper, we focus on the problem of Reload option based on the way by fractional risk-neutral pricing theory, and give the theory of pricing formulas.The chapter 3 is given the interest rates obey Vasicek interest rates model and the fractional dump diffusion environment deduced the Reload option pricing formula.The chapter 4 is given the interest rates obey fractional Vasicek interest rates model and the fractional dump diffusion environment deduced the Reload option pricing formula.