| CEV跳-扩散模型下期权的定价 |
| |
| 引用本文： | 曹桂兰,佟昕叶.CEV跳-扩散模型下期权的定价[J].吉林大学学报(理学版),2019,57(1):72-76. |
| |
| 作者姓名： | 曹桂兰 佟昕叶 |
| |
| 作者单位： | 中国科学院大学数学科学学院,北京,100190;中国科学院大学数学科学学院,北京,100190 |
| |
| 摘 要： | 假设股票价格服从CEV跳-扩散模型, 先用跳过程的It公式和Feller引理给出股票价格的概率密度函数； 然后用复合Poisson过程的测度变换, 建立风险中性测度; 最后在风险中性测度条件下, 用期望收益的无风险折现给出欧式看涨期权的定价公式.
|
| 关 键 词： | CEV模型 跳-扩散模型 概率密度函数 风险中性定价 |
| 收稿时间： | 2018-02-26 |
Pricing of Option under CEV Jump-Diffusion Model |
| |
| CAO Guilan,TONG Xinye.Pricing of Option under CEV Jump-Diffusion Model[J].Journal of Jilin University: Sci Ed,2019,57(1):72-76. |
| |
| Authors: | CAO Guilan TONG Xinye |
| |
| Institution: | School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing 100190, China
|
| |
| Abstract: | We assumed that the stock price obeyed the CEV jump-diffusion model. Firstly, we gave the probability density function of the stock price by using It formula and Fellerlemma of jump process. Secondly, we established the risk neutralmeasure by using the measure conversion of the compound Poisson process. Finally, under thecondition of the risk neutral measure, we gave the pricing formula of the European call option by usingthe risk free discount of expected return. |
| |
| Keywords: | CEV model jump diffusion model probability density function risk neutral pricing |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《吉林大学学报(理学版)》浏览原始摘要信息 |
| 点击此处可从《吉林大学学报(理学版)》下载免费的PDF全文 |
