| 跳跃-扩散模型欧式期权定价 |
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| 引用本文： | 李红,郑珍远,陈嘉庆.跳跃-扩散模型欧式期权定价[J].内蒙古师范大学学报(自然科学版),2007,36(5):591-594,598. |
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| 作者姓名： | 李红 郑珍远 陈嘉庆 |
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| 作者单位： | 福州大学管理学院,福建福州350002 |
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| 摘 要： | 采用鞅方法讨论了跳跃扩散模型下欧式期权的定价问题．利用等价鞅测度和标准正态分布函数给出这一模型下欧式看涨期权和看跌期权的定价公式．
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| 关 键 词： | 跳跃-扩散模型 欧式看涨期权 等价鞅测度 |
| 文章编号： | 1001-8735（2007）05-0590-04 |
| 收稿时间： | 2006-12-20 |
| 修稿时间： | 2006-12-20 |
Pricing European Options under Jump-Diffusion Models |
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| LI Hong,ZHENG Zhen-yuan,CHEN Jia-qing.Pricing European Options under Jump-Diffusion Models[J].Journal of Inner Mongolia Normal University(Natural Science Edition),2007,36(5):591-594,598. |
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| Authors: | LI Hong ZHENG Zhen-yuan CHEN Jia-qing |
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| Institution: | College of Management, Fuzhou University, Fuzhou 350002, China |
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| Abstract: | The pricing theory of European Options under jump-diffusion models was discussed. By use of equivalent martingale measures and normal distribution function, the pricing formula for this kind of option was proposed. |
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| Keywords: | jump-diffusion models European options Equivalent martingales |
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