| 有多个跳跃源的跳扩散模型的期权定价 |
| |
| 引用本文： | 颜玲,王永茂,刘海涛,王怡菲,刘超,吴琳琳. 有多个跳跃源的跳扩散模型的期权定价[J]. 郑州大学学报(自然科学版), 2012, 0(1): 33-36 |
| |
| 作者姓名： | 颜玲 王永茂 刘海涛 王怡菲 刘超 吴琳琳 |
| |
| 作者单位： | 燕山大学理学院,河北秦皇岛066004 |
| |
| 基金项目： | 河北省教育厅项目,编号Z2008136 |
| |
| 摘 要： | 假设资产股票价格的跳过程为比Possion过程更一般的一类更新过程,考虑受多个跳跃源影响的情况下,利用等价鞅测度变换方法,给出了具有随机利率的跳扩散模型的期权定价公式.
|
| 关 键 词： | 多个跳跃源 跳扩散模型 期权定价 更新过程 随机利率 |
Option Pricing of a Jump-diffusion Model with Multiple Sources Jumps |
| |
| YAN Ling,WANG Yong-mao,LIU Hai-tao,WANG Yi-fei,LIU Chao,WU Lin-lin. Option Pricing of a Jump-diffusion Model with Multiple Sources Jumps[J]. Journal of Zhengzhou University (Natural Science), 2012, 0(1): 33-36 |
| |
| Authors: | YAN Ling WANG Yong-mao LIU Hai-tao WANG Yi-fei LIU Chao WU Lin-lin |
| |
| Affiliation: | (College of Science,Yanshan University,Qinhuangdao 066004,China) |
| |
| Abstract: | As a kind of special renewal process,it was assumed that jump process in underlying assets stock price was more common than Poisson process.Impacted by the multiple sources of jumps,it was derived the pricing formulas by equivalent martingal transformation measure with the risk-neutral hypothesis. |
| |
| Keywords: | multiple sources of jumps jump-diffusion model option pricing renewal process stochastic interest rate |
| 本文献已被 维普 等数据库收录！ |
|
