| 幂式期权在跳扩散模型下的定价 |
| |
| 引用本文： | 苏小囡,王文胜.幂式期权在跳扩散模型下的定价[J].华东师范大学学报(自然科学版),2011,2011(3):12-20. |
| |
| 作者姓名： | 苏小囡 王文胜 |
| |
| 作者单位： | 华东师范大学,金融与统计学院,上海,200241 |
| |
| 基金项目： | 国家自然科学基金资助项目，宁波大学学校人才工程项目 |
| |
| 摘 要： | 假设标的资产价格服从跳扩散过程,市场利率满足Vasicek模型,当随机利率与资产价格相关时,通过测度变换的方法,选取不同的概率测度,给出幂式期权的价格公式并得到几种特殊情况时的结论.
|
| 关 键 词： | 跳扩散模型 幂式期权 随机利率 测度变换 |
| 收稿时间： | 2010-1-1 |
| 修稿时间： | 2010-4-1 |
Pricing power options in a jump diffusion model |
| |
| SU Xiao-nan,WANG Wen-sheng.Pricing power options in a jump diffusion model[J].Journal of East China Normal University(Natural Science),2011,2011(3):12-20. |
| |
| Authors: | SU Xiao-nan WANG Wen-sheng |
| |
| Institution: | College of Finance and Statistics, East China Normal University, Shanghai 200241, China |
| |
| Abstract: | Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model, and when the interest is correlated with the asset prices, by the way of change of measure, a closed solution of pricing of power option was given. Moreover, some special situations were considered. |
| |
| Keywords: | jump diffusion model power options stochastic interest rate change of measure |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《华东师范大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《华东师范大学学报(自然科学版)》下载免费的PDF全文 |
|
