摘要
美式期权定价问题是金融数学的热点问题,一般要用最优停止理论。本文给出了双指数跳扩散过程的最优停止问题的解析解。
American option pricing is the main focus of mathematical finance, for which optimal stopping theory is usually used. In this paper we give the analytical solution for an optimal stopping problem for a process derived from a diffusion with double exponential jump.
出处
《数学理论与应用》
2009年第1期46-50,共5页
Mathematical Theory and Applications
关键词
跳扩散过程
双指数分布
最优停止
美式期权
Jump- diffusion Double exponential distribution Optimal stopping American option
