跳分散过程的期权定价.pdf

àó’ŒÆa¬Æ Ø© a-*ÑL§Ï½d Á ‡ y“7Kn؊‘X7K½|uÐÅÚ¤ÙÚõ§ˆ«7K û) ¬ÑØ¡AO´Ï §duÙäk ûÐ 5;ºx!dŠ uyÚºxÝ]õU§…Ly Ñõ5A:§]½|5\ ¹ 劑XϽ|uЧIS uϽdïÄ2 5§¿ ´a¤J Æ ©Ì‡—åua-*ÑL§Ï½dïħ$^Ø! ‘Å©ÛêÆóäïáa-*ÑL§ ϽdêÆ.§¿í ÑÙ½dúª ©Ì‡Xe(J: £1¤3I]d‚aL§#L§be§|^ÿÝn اíцϽdúª £2 ¤3I]d‚aL§#L§be§ïÄ äk2 Äv½d‚æªÏ§ÏL gK]´E›{ò˜‡´»6 æªÏ½d ¯K=z˜‡†´»Ã‡©§¦) ¯K £3 ¤3I ]d‚aL§êGH-levyL§ be §|^ Ͻdx°Ž{§íÑþ.ÏÚ-G.Ͻdú ª …i: Ͻd a-*ÑL§ #L§ ÿÝ x°Ž i a-*ÑL§Ï½d THE PRICING OF OPTION WITH JUMP-DIFFUSION Abstract Morden finance theory is consummating and maturing with the continuously development of finance market. All sorts of financial derivatives are appearing. Especially for the option, it has the functions in venture evading !value detec- tion and venture capital etc. It has the properties of diversity as well. Therefore, it make capital markets dynamic. With the continuously development of option market, the research on option pricing have engaged domestic and foreign schol- ars’attention , and have achieved fruitful results. This dissertation is intened to study option pricing problems §so as to establish the mathematic module of option pricing with jump-diffusion process by means of mathematieal tools such as martingale theory and stochastic analysis to deduce the option pricing equation . In this dissertation, it has made main conclusions as follows: £1¤It is assumed that the jump process in pricing of the underlying assets stock is a