| 带有Poisson跳的股票价格模型的欧式双向期权定价 |
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| 引用本文： | 张利娜,刘新平,宁丽娟.带有Poisson跳的股票价格模型的欧式双向期权定价[J].陕西师范大学学报,2007,35(3):16-19. |
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| 作者姓名： | 张利娜 刘新平 宁丽娟 |
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| 作者单位： | 陕西师范大学数学与信息科学学院 陕西西安710062 |
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| 摘 要： | 假定股票价格过程为遵循带非时齐Poisson跳跃的扩散过程,在股票预期收益率、波动率和无风险利率均为时间函数的条件下,利用公平保费原则和价格过程的实际概率测度的保险精算定价方法,得到了有红利支付的欧式双向期权的定价公式.
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| 关 键 词： | Poisson跳-扩散过程 保险精算定价 欧式双向期权 红利 随机微分方程 |
| 文章编号： | 1672-4291（2007）03-0016-04 |
| 修稿时间： | 2007-04-13 |
Pricing of Bi-direction European options on stocks driven by Poisson jump diffusion process |
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| ZHANG Li-na,LIU Xin-ping,NING Li-juan.Pricing of Bi-direction European options on stocks driven by Poisson jump diffusion process[J].Journal of Shaanxi Normal University: Nat Sci Ed,2007,35(3):16-19. |
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| Authors: | ZHANG Li-na LIU Xin-ping NING Li-juan |
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| Abstract: | Under the assumptions that stock price process is driven by non-homogeneous Poisson jump-diffusion process,the expected rate,volatility and risk-less rate are functions of time,using the method of insurance actuary pricing by physical probabilistic measure of pricing process and the principle of fair premium,some pricing formulas of Bi-direction European options considering the price of stock dividend-payment are obtained. |
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| Keywords: | Poisson jump-diffusion process insurance actuary pricing European bi-direction option dividend stochastic differential equation |
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