| 支付红利跳—扩散过程的股票期权定价 |
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| 引用本文： | 孙胜利,宋福庆. 支付红利跳—扩散过程的股票期权定价[J]. 河南科学, 2006, 24(4): 604-607 |
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| 作者姓名： | 孙胜利 宋福庆 |
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| 作者单位： | 1. 商丘职业技术学院,河南,商丘,476000
2. 安阳师范学院,数学系,河南,安阳,455000 |
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| 基金项目： | 河南省教育厅自然科学基金 |
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| 摘 要： | 假定在股票支付连续红利率的情况下,我们将建立支付连续红利率服从跳过程的股票期权定价模型,并利用鞅论和随机分析的方法给出欧式看涨期权定价模型及看涨和看跌期权的平价关系式.
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| 关 键 词： | 红利 跳过程 股票期权定价 模型 公式 |
| 文章编号： | 1004-3918(2006)04-0604-04 |
| 收稿时间： | 2006-02-17 |
| 修稿时间： | 2006-02-17 |
On Shares Option Pricing in the Jump-Diffusion Process of Dividend Award |
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| SUN Sheng-li,SONG Fu-qing. On Shares Option Pricing in the Jump-Diffusion Process of Dividend Award[J]. Henan Science, 2006, 24(4): 604-607 |
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| Authors: | SUN Sheng-li SONG Fu-qing |
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| Affiliation: | 1. Shangqiu Vocational and Technical College, Shangqiu 476000, China; 2. Department of Matchematics, Anyang Teachers College, Anyang 455000, China |
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| Abstract: | On the assumption of continuous dividend of shares award,wel’l establish such a model in the way that continuous dividend rates is attached to shares option pricing in jump process and work out the formula of average relationship between the rising and falling option and European rising option pricing all through martingale theory and stochastic analysis. |
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| Keywords: | dividend jump process shares option pricing model formula through |
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