| 利率随机时的跳跃扩散过程的期权定价模型 |
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| 引用本文： | 杨亚强,杨云锋. 利率随机时的跳跃扩散过程的期权定价模型[J]. 陕西理工学院学报(自然科学版), 2012, 0(1): 43-47 |
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| 作者姓名： | 杨亚强 杨云锋 |
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| 作者单位： | 宝鸡文理学院数学系;西安科技大学理学院 |
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| 基金项目： | 宝鸡文理学院重点科研基金资助项目(ZK09123);陕西省科技计划资助项目(2009KRM99) |
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| 摘 要： | 假定股票价格的跳过程为一般的计数过程,建立了股票价格服从跳扩散过程的行为模型。运用随机分析中的鞅方法,讨论了当利率为随机变量时的期权定价问题,推导出了利率随机时欧式买权与卖权的定价公式以及平价关系,推广了已有的结果。
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| 关 键 词： | 跳扩散过程 计数过程 期权定价 随机利率 |
Pricing options on jump-diffusion model with stochastic interest rate |
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| YANG Ya-qiang,YANG Yun-feng. Pricing options on jump-diffusion model with stochastic interest rate[J]. Journal of Shananxi University of Technology(Natural Science Edition), 2012, 0(1): 43-47 |
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| Authors: | YANG Ya-qiang YANG Yun-feng |
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| Affiliation: | 1.Department of Mathematics,Baoji University of Arts & Sciences,Baoji 721013,China; 2.School of Basic Scineces,Xi′an University of Science & Technology,Xi′an 710054,China) |
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| Abstract: | It is assumed that the jump process is counting one.The behavior model which the stock pricing process is obedient to jump-diffusion process was established.The option pricing was discussed when interest rate was random variable.The formula of European option which stock price with jump process is count process is deduced by martingale method,and the existing conclusions was drawn. |
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| Keywords: | jump-diffusion process count process option pricing stochastic interest rate |
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