跳扩散模型的期权定价杨云锋.pdfVIP

() ,26 , 1 , 10-14 ,2006 3 Journal of Baoji University of Arts and Sciences ( atural Science) ,Vol.26, o. 1,pp. 10-14,M ar.2006 * 杨云锋, 金 浩, 刘新平 ( , 710062) :Merton 在 1976 年建立了著名的跳扩散模型, 本文利用了随机分析中的鞅 法推广了 Merton 关于欧式期权定价的结果, 讨论了跳扩散模型的 一般情形:假定股票价格过程遵循 Poisson 跳 跃的扩散过程, 股票预期收益率, 波动率和无风险利率均为时间的函数, 以及风险资产支付红利,并且有 依赖于时间参数的红利率的情况下, 获得了欧式期权的定价公式和买权与卖权之间的平价关系 : 跳扩散过程;期权定价;鞅 法; 红利 :O211.6 :A : 1007-1261( 2006) 01-0010-05 Pricing options on jump- diffusion model YA G Yun-feng, JI H ao, LIU Xin-ping (Coll. Math. Infom. Sci. , Shaanxi ormal Univ. , Xian, 710062, Shaanxi, China) Abstract: The results of Merton on European option pricing was generalized by using martingale method, and the jump- diffusion model, established by R. C. Merton in 1976, was discussed. If the stocks process is driven by Poisson jump- diffusion, and the rateof expected stock- returns, fluctua- ting rate and risk- less rate are function of time dependent bonus rate,the pricing formula and put- call parity of European option were given. Key words: jump- diffusion process; option pricing; martingale method; bonus MSC 2000: 60J75 1973 Black Scholes [ 1] Brown , Black- Scholes , , Merton [ 2] , 1976 , Merton , [ 3] Brown , [ 4, 5] : Poisson , , , , , , , , , 1 t ( P ( t,