Chooser Option Pricing Models Under Bi-Fractional Ornstein-Uhlenback Process

With the development of the financial market,there are more and more types of financial derivatives.As an important financial derivative,the pricing theory of option has rapidly developed.The chooser option has became an important financial tool in the financial market.Thus,the option pricing is one of most important problem in the financial world.This paper mainly discuss the pricing of chooser option,The main research results are as follows:(1)It is assumed that stock price satisfies bi-fractional Ornstein-Uhlenback process.The expected rate and risk-less rate and the volatility are constant.The financial market mathematical model is built.Using the actuarial approach,the price of the chooser option is obtained;(2)It is assumed that the stock price satisfies bi-fractional Ornstein-Uhlenback process and jump process,the expected return rate and volatility rate are constant.The financial market mathematical model under bi-fractional Ornstein-Uhlenback Process and jumpdiffusion process is built,and the price of the chooser option is obtained;(3)It is assumed that stock price satisfies bi-fractional Ornstein-Uhlenback process.Also,the expected rate and the volatility are constant.According to the stochastic analysis theory of bi-fractional Brownian motion,the Vasicek rate model is described,and the price of the chooser option is obtained.