| 股票价格服从跳扩散过程的双币种期权定价 |
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| 引用本文： | 马奕虹,邓国和.股票价格服从跳扩散过程的双币种期权定价[J].广西师范大学学报(自然科学版),2007,25(3):52-55. |
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| 作者姓名： | 马奕虹 邓国和 |
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| 作者单位： | 广西师范大学,数学科学学院,广西,桂林,541004 |
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| 基金项目： | 国家自然科学基金资助项目(40675023)，广西师范大学博士科研基金资助项目 |
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| 摘 要： | 在股价服从Merton跳扩散模型下考虑了4种双币种标准欧式看涨期权的定价。利用鞅方法和Gir-sanov定理,给出了国内外利率为常数时的定价显示式,并通过实例计算与Black-Scholes模型的相应结果进行了比较。
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| 关 键 词： | 双币种期权 跳扩散模型 鞅方法 |
| 文章编号： | 1001-6600（2007）03-0052-04 |
| 收稿时间： | 2007-01-29 |
| 修稿时间： | 2007年1月29日 |
Pricing Quanto Options in Jump-Diffusion Model |
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| MA Yi-hong,DENG Guo-he.Pricing Quanto Options in Jump-Diffusion Model[J].Journal of Guangxi Normal University(Natural Science Edition),2007,25(3):52-55. |
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| Authors: | MA Yi-hong DENG Guo-he |
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| Institution: | College of Mathematical Science, Guangxi Normal University, Guilin 541004,China |
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| Abstract: | The valuations for four types of quanto European call options were considered under the assumption of foreign-stock price satisfying a jump-diffusion model in this paper.The analytic price formulas for the four options are firstly obtained in the case of both the domestic and foreign interest rates being constant by applying martingale method and Girsanov theorem.Finally,these results in the above proposed model are compared with those in Black-Scholes model through numerical examples. |
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| Keywords: | quanto options jump-diffusion model martingale method |
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