In this paper, we discuss the condition of exponential martingale for Ornstein-Uhlenbeck process model in detail and price bi-direction European option driven by Ornstein-in-Uhlenbeck process.

• 讨论了指数O-U过程模型所对应的指数鞅成立的条件，并用鞅方法定价了指数O-U过程模型双向欧式期权。