摘要
如果市场有套利时,传统的期权定价的理论就会出现困难.1998年Mogens Bladt和Tina Hviid Ry-dberg提出保险精算定价方法,在市场不作上述假设的前提下,利用公平保费原理和价格过程的实际概率测度,得到了期权的定价公式.运用这一方法研究了亚式期权的定价问题:在股票价格遵循非时齐Poisson跳,期权浮动敲定价格遵循It^o过程的假设下,获得了亚式看涨看跌期权的定价公式以及平价公式.
Without market assumptions, Mogens Bladt and Tina Hviid Rydberg used merely probabilistic measure of price process and actuarial considerations for pricing options in 1998. Under that conditions, in this paper, by using physical probabilistic measure of price process and the principle of fair premium, we dealt with pricing formula of option on Asian option under the assumption that stocks price process was driven by non-homogeneous Poisson jump diffusion process and struck price process driven by Ito process , we obtained the pricing formula of Asian option and put call parity.
出处
《湖北工业大学学报》
2007年第1期97-100,104,共5页
Journal of Hubei University of Technology
