Pricing compound option under Ornstein-Uhlenbeck process and Hull-White rate
WANG Xiangrong1， XUE Yaoyao2
1.College of Mathematics and Systems Science， Shandong University of Science and Technology， Qingdao， Shandong 266590， China；2.Financial Research Institute， Shandong University of Science and Technology， Qingdao， Shandong 266590，China
Abstract：The changing rules of interest rate and stock price are described by applying Hull-white model and exponential Ornstein-Uhlenbeck process.The randomness and mean-recoversion of interest rate and underlying asset are considered.The pricing problem of compound option under Ornstein-Unlenbeck process and stochastic rate are studied by using the martingale theory and the Girsanov theorem .Finally， the pricing formulas of compound options are obtained.
2019, Vol. 53 
