摘要
基于Merton跳扩散分布,提出了Merton跳扩散扭曲函数。证明了在Merton跳扩散模型中,按Merton跳扩散扭曲函数得到的期权价格和在均值修正鞅测度下得到的期权价格一致。数值计算结果表明,Merton跳扩散扭曲函数在定价准确性方面要好于基于NIG分布和标准正态分布的扭曲函数。
Based on Merton jump diffusion distribution,Merton jump diffusion distortion function is put forward.It is shown that option price under Merton jump diffusion distortion function is just the price under mean correcting martingale measure in Merton jump diffusion model.The numerical results show that in terms of pricing accuracy,the distortion function based on Merton jump diffusion distribution performs better than that on NIG distribution and standard normal distribution.
作者
王敬童
姚落根
范伟平
WANG Jingtong;YAO Luogen;FAN Weiping(School of Mathematics and Statistics,Hunan University of Technology and Business,Changsha,Hunan 410205,China;Foreign-oriented College,Central South University of Forestry and Technology,Changsha,Hunan 410004,China)
出处
《南华大学学报（自然科学版）》
2020年第5期87-92,共6页
Journal of University of South China：Science and Technology
基金
湖南省教育厅重点项目(19A267,19A271)
湖南省自然科学基金项目(2019JJ40141)。
关键词
Merton跳扩散模型
扭曲函数
期权定价
保险定价
王变换
Merton jump diffusion model
distortion function
option pricing
insurance pricing
Wang transform
