| 跳扩散模型下的二选期权定价 |
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| 引用本文： | 李艺卓,刘丽霞. 跳扩散模型下的二选期权定价[J]. 宝鸡文理学院学报(自然科学版), 2018, 38(1): 5-9,29. DOI: 10.13467/j.cnki.jbuns.2018.01.003 |
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| 作者姓名： | 李艺卓 刘丽霞 |
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| 作者单位： | 河北师范大学数学与信息科学学院,河北石家庄,050024;河北师范大学数学与信息科学学院,河北石家庄,050024 |
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| 摘 要： | 目的考虑在跳扩散模型下基于收益率对数对二选较优看涨期权与二选较差看涨期权定价,其中跳跃次数服从泊松分布,每次跳跃的比率为一个随机变量,服从对数正态分布。方法在风险中性概率测度下,利用风险中性原理及It8引理的方法。结果通过直接计算,得到其解析定价公式。结论带跳的二选期权定价公式更符合实际情况。
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| 关 键 词： | 跳扩散模型 收益率对数 二选期权 |
The alternative option pricing under the jump diffusion model |
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| LI Yi-zhuo,LIU Li-xia. The alternative option pricing under the jump diffusion model[J]. Journal of Baoji College of Arts and Science(Natural Science Edition), 2018, 38(1): 5-9,29. DOI: 10.13467/j.cnki.jbuns.2018.01.003 |
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| Authors: | LI Yi-zhuo LIU Li-xia |
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| Abstract: | Purpose—To set a price on the better and the worst of two call options on the basis of logarithmic rate of return under the jump diffusion model,w here the jump frequency obeys Poisson distribution,the ratio of each jump is a random variable,but it obeys logarithmic normal distribution. Methods—In the risk neutral probability measure,the risk neutral principle and It?lemma are used to achieve aforesaid purpose.Result—Its analytical pricing formula is gotten through the direct calcula-tion.Conclusion—The pricing formula with jumping is more in line with the actual situation. |
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