| 跳扩散模型下的可分离债券的定价 |
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| 引用本文： | 苗杰,师恪,蔡华.跳扩散模型下的可分离债券的定价[J].山东大学学报(理学版),2010,45(8):109-117. |
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| 作者姓名： | 苗杰 师恪 蔡华 |
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| 作者单位： | 1. 昌吉学院数学系,新疆,昌吉,831100
2. 新疆大学数学与系统科学学院,新疆,乌鲁木齐,830046 |
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| 摘 要： | 假设股票价格过程是由"标准几何Brown运动"引起的连续变动和"Poisson过程"引起的跳跃共同作用的,且利率是随机的,通过选取不同的计价单位及概率测度的变换,利用鞅的方法研究了跳扩散模型下的可分离债券的定价,并得到了可分离债券的定价公式。
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| 关 键 词： | 可分离债券 等价鞅测度 计价单位 跳扩散模型 |
| 收稿时间： | 2009-07-02 |
The pricing of bond with attached warrant under the jump-diffusion model |
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| MIAO Jie,SHI Ke,CAI Hua.The pricing of bond with attached warrant under the jump-diffusion model[J].Journal of Shandong University,2010,45(8):109-117. |
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| Authors: | MIAO Jie SHI Ke CAI Hua |
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| Institution: | 1. Mathematics Department of Changji College, Changji 8311002, Xinjiang, China;
2. College of Mathematics and System Sciences, Xinjiang University, Urumqi 830046, Xinjiang, China |
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| Abstract: | The Martingale method is used to study the pricing of the bond with attached warrant under the jump-diffusion model and obtains the pricing formula of the bond with attached warrant by means of choosing different numeriare and changing the probability measure, Here supposes that the stock price are by the continuous changes of the standard geometric Brown and the jump of the Poisson process, and the interest rate is stochastic. |
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| Keywords: | bond with attached warrant equivalent martingale numeriare jump-diffusion model |
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