摘要
假定标的资产服价格的跳过程服从一类特殊的更新跳过程,考虑多个跳源影响,在Vasicek扩展利率模型下,利用鞅方法给出连续履约价期权的定价公式.
Assuming that the underlying asset follows a special renewal process, we give a pricing formula for a continuous strike option following a jump - diffusion model with multiple source jumps and Vasicek type interest rates.
出处
《数学理论与应用》
2013年第1期82-88,共7页
Mathematical Theory and Applications
关键词
更新过程
鞅方法
随机利率
连续履约价期权
Renewal Process Martingale Approach Random Interest Rate Continuous Strike Option
