| 股票价格跳过程为复合Poisson过程的期权定价模型 |
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| 引用本文： | 杨云锋,刘新平. 股票价格跳过程为复合Poisson过程的期权定价模型[J]. 陕西师范大学学报(自然科学版), 2005, 33(3): 14-17 |
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| 作者姓名： | 杨云锋 刘新平 |
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| 作者单位： | 陕西师范大学数学与信息科学学院,陕西西安710062 |
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| 基金项目： | 国家自然科学基金资助项目(40371004) |
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| 摘 要： | 研究了股票价格的行为模式，运用随机分析中的鞅方法推广了Merton关于欧式期权定价的结果．改变了Merton期权定价模型的基本假设，认为股票价格的跳跃过程为一类特殊的复合Poisson过程且无跳时的波动率为时间的函数，建立了股票价格服从跳扩散过程的行为模型，在风险中性的假设下，推导出了股票价格的跳过程为复合Poisson过程的欧式期权定价公式，推广了Merton的结果。
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| 关 键 词： | 期权定价 复合Poisson过程 跳扩散过程 |
| 文章编号： | 1672-4291(2005)03-0014-04 |
| 修稿时间： | 2005-03-18 |
Option pricing model about stock pricing jump process with compound Poisson process |
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| YANG Yun-feng,LIU Xin-ping. Option pricing model about stock pricing jump process with compound Poisson process[J]. Journal of Shaanxi Normal University: Nat Sci Ed, 2005, 33(3): 14-17 |
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| Authors: | YANG Yun-feng LIU Xin-ping |
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| Abstract: | The behavior model of stock price is studied. The results of Merton on European option pricing by martingale method are given. By changing basic assumption of Merton option pricing model to the assumption that jump process is a kind of special compound Poisson process and volatility without jump is the function of time, it is established that the behavior model of the stock pricing process is jump-diffusion process. The formula of European option whose stock price with jump process is a compound Poisson process is deduced under the risk-neutral hypothesis, and it is extended that Merton option pricing model. |
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| Keywords: | option pricing compound Poisson process jump-diffusion process |
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