服从跳- 扩散过程的再装股票期权的定价.PDFVIP

中国科技论文在线 18 1 Vol. 18 No. 1 2003 2 JOURNAL OF SYSTEMS ENGINEERING Feb. , 2003 - 冯广波, 刘再明, 侯振挺 ( , 410075) : 在等价鞅测度下, 求出在风险中性定价模型中, 标的资产服从跳- 扩散过程的再装股票期权的价格. 然 后, 针对给出定价公式的特点, 提供了便于实际应用的数值模拟方法. : ; - ; :F832 :A :1000- 5781(2003)01- 0091- 03 Reload stockoptionspricingwithunderlying stock assetobeyingjump_diffusionprocess FENG Guang_bo, LIUZai_ming, HOUZhen_ting (Central South University, Railway Campus Mathimatical Finance Center, Changsha 410075, China) Abstract:Under the equivalent martingale measure and risk neutral pricing model, it is solved that the price of reload stock option whose underlying stock asset obeys jump_diffusion process. Then, in order to easily deal with the pricing formula obtained, the paper develops a method of numerical value simulation in accordance with the feature of it. Keyword:reload stock option pricing; jump_diffusion process; numerical value simulation 0 , , . , Johnson Tian 2000 ( ), ( ) . , , , , - , , , . , , 1 . , dSt : St = ( - ) dt + dw( t) 转载 :2001- 08- 31; :2002- 06- 03. : (A010110) . 中国科技论文在线