| 跳跃扩散模型下一篮子期货期权定价 |
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| 引用本文： | 蒋英,林建忠. 跳跃扩散模型下一篮子期货期权定价[J]. 华东师范大学学报(自然科学版), 2010, 2010(6): 169-177 |
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| 作者姓名： | 蒋英 林建忠 |
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| 作者单位： | 1. 上海电力学院,数理系,上海,201300
2. 上海交通大学,数学系,上海,200240 |
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| 基金项目： | 国家973基础研究重大项目 |
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| 摘 要： | 在多维跳跃扩散期货市场模型下,应用远期鞅测度方法获得了欧式一篮子期货期权的Black-Scholes定价公式.
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| 关 键 词： | 跳跃扩散模型 一篮子期货期权 等价鞅测度 跳跃扩散模型 一篮子期货期权 等价鞅测度 |
| 收稿时间： | 2010-03-01 |
| 修稿时间： | 2010-06-01 |
Pricing basket future options in jump-diffusion models |
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| JIANG Ying,LIN Jian-zhong. Pricing basket future options in jump-diffusion models[J]. Journal of East China Normal University(Natural Science), 2010, 2010(6): 169-177 |
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| Authors: | JIANG Ying LIN Jian-zhong |
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| Affiliation: | 1. Department of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 201300, China2. Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, China |
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| Abstract: | A model of future market in which the prices of k futures are governed by a m-dimensional Brownian motion and a l-dimensional Poisson process is considered. Applying the forward martingale measure method, the Black-Scholes pricing formula for an European basket future option is obtained. |
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| Keywords: | jump-diffusion model basket future option equivalent martingale measure |
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