利用鞅方法研究一类带反射的随机波动模型与常弹性方差(CEV)模型的复合模型,用合流超几何函数表示出首中时和波动因子的一种期望,并讨论当模型的参数取某些特殊值时,其中一个合流超几何函数不存在时的情形.
The author studied a class of composite model of stochastic volatility model with reflection and constant elastic variance(CEV)model by using martingale methods.The author used the confluent hypergeometric function to express a kind of expectation of first passage time and volatility,and discussed the case where one of the confluent hypergeometric functions did not exist when the parameters of the model took some special values.