随机利率下连续扩散模型的欧式期权定价

his paper mainly studied pricing formula and parity formula of the European call and put option，when underlying stock price followed a jumping diffusion model with a Vasicek stochastic interest rate in the financial markets with the absence of friction, no arbitrage, continuous trading.Vasicek interest rate was more able to respond to market-oriented interest rates on the value of financial derivatives than a constant interest rate; while the geometric Brownian motion in continuous diffusion model depicted the continuous stock market price changes. According to the principle of martingale,using generalized It? formula,the pricing formulae of European call, put options and parity formulae were deduced when underlying stock price followed a continous diffusion model with a Vasicek stochastic interest rate .