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2013 | OriginalPaper | Chapter

73. Actuarial Pricing to Compound Option Under Ornstein-Uhlenback Process

Authors : Congcong Xu, Haiying Li

Published in: Proceedings of the International Conference on Information Engineering and Applications (IEA) 2012

Publisher: Springer London

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Abstract

A model of the compound options was studied by supposing if the stock price obeys the exponential Ornstein-Uhlenback process. The exact solutions of underlying European option and European compound options were obtained. The related theory of stochastic differential equation was used and the definition of actuarial pricing approach was considered in order to obtain the solutions. Finally, the comparative analysis between the results of the actuarial approach and the No arbitrage pricing method was discussed.

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Metadata
Title
Actuarial Pricing to Compound Option Under Ornstein-Uhlenback Process
Authors
Congcong Xu
Haiying Li
Copyright Year
2013
Publisher
Springer London
Book
Proceedings of the International Conference on Information Engineering and Applications (IEA) 2012

Print ISBN: 978-1-4471-4852-4

Electronic ISBN: 978-1-4471-4853-1

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-1-4471-4853-1_73