| 支付红利股票的跳扩散过程下期权定价的鞅方法 |
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| 引用本文： | 彭勃,杜雪樵. 支付红利股票的跳扩散过程下期权定价的鞅方法[J]. 合肥工业大学学报(自然科学版), 2007, 30(11): 1542-1545 |
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| 作者姓名： | 彭勃 杜雪樵 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
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| 基金项目： | 合肥工业大学概率论与数理统计精品课程建设资助项目(108-034009) |
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| 摘 要： | 文章假定基础资产股票价格的跳过程为比Poisson过程更一般的跳过程——一类特殊的更新过程,考虑股票支付红利的情形。在市场无套利条件下建立随机微分方程,以随机分析和鞅理论为基础,用未定权益的鞅定价方法得到支付红利股票的跳扩散过程的欧式看涨期权的定价公式及欧式看涨看跌期权之间的平价公式。
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| 关 键 词： | 更新过程 跳扩散过程 鞅测度 红利 期权定价 |
| 文章编号： | 1003-5060(2007)11-1542-04 |
| 修稿时间： | 2006-11-27 |
Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process |
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| PENG Bo,DU Xue-qiao. Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process[J]. Journal of Hefei University of Technology(Natural Science), 2007, 30(11): 1542-1545 |
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| Authors: | PENG Bo DU Xue-qiao |
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| Abstract: | In this paper,it is assumed that the jump process in pricing of the underlying assets stock is a kind of special renewal process which is more common than the Poisson process considering the price of stock dividends payment.The stochastic differential equation is given in the case that the market has no arbitrage.Based on stochastic analysis and the martingale theory,the European call option pricing equation and the call-put parity formula are deduced under the contingent claim by means of the martingale measure pricing method. |
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| Keywords: | renewal process jump-diffusion process martingale measure dividend option pricing |
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