| 在多跳跃-扩散过程下的幂型再装期权的定价 |
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| 引用本文： | 周密.在多跳跃-扩散过程下的幂型再装期权的定价[J].海南师范大学学报(自然科学版),2012,25(4):374-379. |
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| 作者姓名： | 周密 |
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| 作者单位： | 三亚学院理工学院,海南三亚,572022 |
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| 摘 要： | 考虑股票价格服从多跳跃随机过程,在无套利的条件下,通过运用等价鞅测度的方法和条件期望的一些结论,推导出在多跳跃-扩散过程下幂型再装期权的显式解.
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| 关 键 词： | 多跳跃 幂型再装期权 等价鞅测度 无套利定价 |
Pricing of Exponential Reload Options in the Multiple Jump-Diffusion Process |
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| ZHOU Mi.Pricing of Exponential Reload Options in the Multiple Jump-Diffusion Process[J].Journal of Hainan Normal University:Natural Science,2012,25(4):374-379. |
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| Authors: | ZHOU Mi |
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| Institution: | ZHOU Mi (School of Science and Technology, Sanya College, Sanya 572022, China) |
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| Abstract: | Considering the stock price is subject to multiple jump-diffusion stochastic process, in no-arbitrage conditions, by applying equivalent martingale measure and some conclusions of conditional expectation, the explicit solution of the option is deduced. |
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| Keywords: | multiple jump-diffusion process exponential reload option equivalent martingale measure no-arbitragepricing |
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