2004•Gongcheng shuxue xuebaoRequires access
Pricing Options on the Maximum of Stocks Driven by Ornsten-Uhlenback Process
Liu San-yan, Wenqiang Li
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Abstract
The problem of pricing exotic options on the stocks whose price processes are driven by exponential Ornstein-Ukleuback process is discussed. The unique equivalent martingale measure of this model is found by using the Girsanov theorem. Then, The pricing formulas of the option on a discrete maximum and Rainbow option are obtained with the help of the martingale approaches.