Exotic Options Pricing on the Stock Driven from Generalized Exponential O-U Processes

Yan Haifeng
(Department of Insurance, School of Finance and Banking,
Nanjing University of Finance and Economics,
Nanjing,210046,Jiangsu,P.R.China,)
Abstract Under the hypothesis of stock price submitting to the generalized
exponential Ornstein-Uhlenbeck process , the unique equivalent martingale
measure of this model is found by using the Girsanov theorem in this paper.
Then, pricing formulas for standard options and some exotic options (such
as Cliquet option, Bermudan option, Ladder option) are obtained with the
help of the martingale method of option pricing. These results extend and
modify the Black-Scholes pricing model.
keywords: ¯nancial market, option pricing, equivalent martingale mea-
sure, exotic options, continuous time ¯nance, Ornstein-Uhlenback process.
America Mathematics Subject Classi¯cation(2000):Primary 90A09;
secondary 60J30
E-mail:yseaf@163.com