Four Kinds Of Exotic Option Pricing Under The Vasicek Interest Rate Model Based On The Index O-U Process

Option is the most typical and important financial financial derivative instru-ment with the most research value,which is of theoretical significance and practical value for the pricing research.However,with the flourishing development of financial market and continuous perfection of option and related theory,the standard option can not satisfy the demands of different investors on option,in order to satisfy the personalized requirements of transactors,it derives various non-standard options,namely exotic options(Asian option,reset option,binomial exotic option,barrier option),which have gradually become crucial financial derivative products.The di-versity of the factors influencing the prices of exotic options causes the complexity of pricing,therefore,the pricing of exotic options has become one of the core problems in financial mathematics research.This thesis mainly conducts research on the pricing problem of four kinds of ex-otic options(Deductible call,payoff segment call,binomial exotic option,bi-direction European option)in finance.Because when the stock price rises to certain level,the parameter a may cause it to decline,the index O-U process has larger regression trend than general random process,which is more suitable to practical situation.Therefore,this paper considers the interest rate obeys Vasicek interest rate model and the stock price obeys the index O-U process thus to get the following main achievements:Firstly,the pricing formula of deductible call under the Vasicek interest rate model based on the index O-U process;Secondly,the pricing formula of payoff segment call under the Vasicek interest rate model based on the index O-U process;Thirdly,the pricing formula of binomial exotic option under the Vasicek interest rate model based on the index O-U process;Fourthly,the pricing formula of bi-direction European option under the Vasicek interest rate model based on the index O-U process;...