Journal of Guangxi Normal University(Natural Science Edition) ›› 2016, Vol. 34 ›› Issue (1): 84-92.doi: 10.16088/j.issn.1001-6600.2016.01.013
Previous Articles Next Articles
HU Hua
CLC Number:
| [1] BEHME A,LINDNER A.Multivariate generalized Ornstein-Uhlenbeck processes[J].Stochastic Processes and Their Applications,2012,122(4):1487-1518. DOI:10.1016/j.spa.2012.01.002. [2] BO Lijun,YANG Xuewei.Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes[J]. Statistics and Probability Letters,2012,82(7):1374-1382. DOI:10.1016/j.spl.2012.03.018. [3] HADJIEV D I.The first passage problem for generalized Ornstein-Uhlenbeck processes with nonpositive jumps[M]// AZÉMA J,YOR M.Seminaire de Probabilites XIX 1983/84:Lecture Notes in Mathematics Volume 1123.Berlin: Springer,1985:80-90.DOI:10.1007/BFb0075840. [4] BORODIN A N,SALMINEN P.Handbook of brownian motion:facts and formulae[M].2nd ed.Basel:Birkhauser Verlag,2002. [5] CARMONA P,PETIT F,YOR M.Exponential functionals of Levy processes[M]//BARNDORFF-NIELSEN O E,RESNICK S I,MIKOSCH T.Levy Processes:Theory and Applications.Boston,MA:Birkhauser Boston,2001:41-55. DOI:10.1007/978-1-4612-0197-7_2. [6] BERTOIN J.On the Hilbert transform of the local times of a Levy process[J].Bull Sci Math,1995,119(2):147-156. [7] LACHAL A.Quelques martingales associées à l’intégrale du processus d’ornstein-uhlenbeck,application à l’étude despremiers instants d’atteinte[J].Stochastics and Stochastic Reports,1996,58(3/4):285-302.DOI: 10.1080/ 17442509608834078. [8] BARNDORFF-NIELSEN O E,SHEPHARD N.Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics[J].J Roy Statist Soc:Ser B(Statist Methodol),2001,63(2):167-241. DOI:10.1111/1467-9868.00282. [9] FASEN V.Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration[J].Journal of Econometrics,2013,172(2):325-337. DOI:10.1016/j.jeconom.2012.08.019. [10] 孙丽娟.随机利率下基于O-U过程的欧式期权定价[J].荆楚理工学院学报,2011,26(2):47-51. [11] 刘敬伟.Vasicěk随机利率模型下指数O-U过程的幂型期权鞅定价[J].数学的实践与认识,2009,39(1):31-39. [12] DUFFIE D,FILIPOVIC D,SCHACHERMAYER W.Affine processes and applications in finance[J].Ann Appl Probab,2003,13(3):984-1053. [13] SATO K.Levy processes and infinetely divisible distributions[M].Cambridge:Cambridge University Press,1999. [14] NOVIKOV A.Martingales and first-passage times for Ornstein-Uhlenbeck processes with a jump component[J]. Theory of Probability and Its Applications,2004,48(2):288-303.DOI:10.1137/S0040585X97980403. [15] SKOROHOD A V.Random Processes with Independent Increments[M].Dordrecht:Kluwer Academic Publishers,1991. [16] NOVIKOV A A.A martingale approach in problems on first crossing time of nonlinear boundaries[J].Proceedings of the Steklov Institute of Mathematics,1983,4:141-163. [17] 李志广,康淑瑰.混合分数布朗运动环境下短期利率服从vasicek模型的欧式期权定价[J/OL].数学杂志,2014[2015-09-10].http://www.cnki.net/kcms/doi/10.13548/j.sxzz.20130311004.html. [18] 王晶,张兴永.利率服从Vasicek模型下的欧式期权定价[J].安庆师范学院学报(自然科学版),2011,17(3):35-37,45. [19] LEBLANC B,SCAILLET O.Path dependent options on yields in the affine term structure[J].Finance and Stochastics,1998,2(4):349-367.DOI:10.1007/s007800050045. |
| [1] | WANG Jiaqin, DENG Guohe. Pricing of Interest Rate Derivatives Based on Affine Jump Diffusion Model [J]. Journal of Guangxi Normal University(Natural Science Edition), 2016, 34(3): 74-85. |
| [2] | TANG Sheng-da, QIN Yong-song. Gerber-Shiu Function of MAP Risk Process Perturbedby Diffusion [J]. Journal of Guangxi Normal University(Natural Science Edition), 2011, 29(3): 23-27. |
|