| 新型利率模型下标的资产服从跳-扩散过程的期权定价 |
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| 引用本文： | 许聪聪,刘新平.新型利率模型下标的资产服从跳-扩散过程的期权定价[J].山东大学学报(理学版),2011,46(7):96-100. |
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| 作者姓名： | 许聪聪 刘新平 |
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| 作者单位： | 1. 石家庄铁路职业技术学院,河北石家庄,050041
2. 陕西师范大学数学与信息科学学院,陕西西安,710062 |
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| 基金项目： | 国家自然科学基金项目(40271037) |
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| 摘 要： | 在Kim和Kunitomo提出的新型利率模型下,研究了股票价格服从跳-扩散过程的期权定价问题,同时考虑了红利的支付。假设参数都是关于时间的函数,利用鞅方法得到了欧式看涨期权与看跌期权价格的解析表达式,从而进一步推广了B-S模型的结论。
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| 关 键 词： | 随机利率 跳-扩散过程 鞅方法 |
Option pricing under a new interest rate model when the underlying asset obeys the jump-diffusion process |
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| XU Cong-cong,LIU Xin-ping.Option pricing under a new interest rate model when the underlying asset obeys the jump-diffusion process[J].Journal of Shandong University,2011,46(7):96-100. |
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| Authors: | XU Cong-cong LIU Xin-ping |
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| Institution: | XU Cong-cong1,LIU Xin-ping2 (1.Shijiazhuang Institute of Railway Techology,Shijiazhuang 050041,Hebei,China,2.College of Mathematics and Information Science,Shaanxi Normal University,Xi'an 710062,Shaanxi,China) |
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| Abstract: | Based on the new type interest rate model proposed by Kim and Kunitomo,the option price was studied when the stock price obeys the jump-diffusion process.Considering the payment of stock dividend,the analytical expressions of European call and put option prices were obtained using the Martingale method by assuming that the parameters are time-dependent.This study developed the results of Black-Scholes model. |
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| Keywords: | stochastic interest rate jump-diffusion process Martingale method |
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