摘要
在双指数跳扩散模型下,利用已建立的欧式期权定价公式讨论了三种常见的奇异期权——简单任选期权、上限型买权和滞后付款期权的期权定价,得到了这些期权定价的解析公式.这是对双指数跳扩散模型期权定价的补充.
In a Double - Exponential Jump - Diffusion Model, We usethe established explicit formulas for European option pricing to discuss exotic options for capped calls option and simple choosey option and delay payment option, finally we derive the pricing formulas for exotic options. This is supplement for options pricing of double exponential jump diffusion.
出处
《数学理论与应用》
2011年第4期47-51,共5页
Mathematical Theory and Applications
关键词
双指数跳扩散模型
上限型买权
简单任选期权
滞后付款期权
Double exponential Sump diffusion model Capped calls option Simple choosey option Delay payment option
