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.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,用鞅定价方法得到了跳扩散模型下的欧式双向期权定价公式.
This paper assumes that jump process in underlying assets-stock price is more general than Poisson process--a special kind of renewal process. The stochastic differential equation under the circumstance of no arbitrage market is given based on stochastic analysis and martingale theory. We obtain the European bidirection option pricing formulas under the jump diffusion model by means of martingale measure pricing method.
出处
《浙江万里学院学报》
2008年第5期8-12,共5页
Journal of Zhejiang Wanli University
关键词
跳扩散模型
更新过程
鞅
欧式双向期权
jump diffusion model
renewal process
martingale
European bi-direetion option
