Pricing Continuous Squared Barrier Options Based On Exponential O-U Process Under Stochastic Interest Rate

Financial invest is one of economy activities nowadays in our society, pricing financial assets and financial derivatives are contracted by investors in our invest market. Investors can invest strategies and hedging risks in light of pricing model so that they may achieve in anticipate invest market strategies objective. Financial derivative instrument pricing formula is studied with mathematical models and mathematical tools.Although Black-Scholes option pricing model was date back from 1973, with the development of society economy, which is dissatisfied market investors need. Article applied O-U process model, which can reflect future stock pay-off volatility very well, because it have great improvemet on base of B-S model; Interest rate variety may bring out systemic risk, short Vasicek rate model have special property by it self, which can satisfy the laws of change in short time, so European convention option pricing formula is researched by interest rate model.Futhermore, we can study barrier option pricing model. Interest rate is associated with bond stochastic differential equation, complicated barrier option pricing formula are obtained by view of martingal method and stochastic calculate theory and risk-neutral probability measure.At last, article study continuous squared barrier option pricing model. In spite of squared barrier option have great lever so that it aggravate invest of risk. Essay can obtain down-and-out call continous squared barrier option pricing model on the basis of studied.