| 分数-跳扩散模型下的两种奇异期权定价 |
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| 引用本文： | 桑利恒,杜雪樵.分数-跳扩散模型下的两种奇异期权定价[J].滁州学院学报,2012,14(2):28-31. |
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| 作者姓名： | 桑利恒 杜雪樵 |
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| 作者单位： | 1. 滁州学院数学学院,安徽滁州,239000
2. 合肥工业大学数学学院,安徽合肥,230009 |
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| 摘 要： | 在股票价格遵循带有非时齐Poisson跳跃的分数扩散过程的假定下,刻画了股票价格的相依性和市场中重大信息的到达引起股票价格的跳跃,同时利用鞅方法,导出了两种奇异期权的定价公式.
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| 关 键 词： | 分数-跳扩散 风险中性测度 上限型买权 抵付型买权 |
Pricing of Two Kinds of Exotic Options with a Fractional --Jump--diffusion Models |
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| Sang Liheng,Du Xueqiao.Pricing of Two Kinds of Exotic Options with a Fractional --Jump--diffusion Models[J].Journal of Chuzhou University,2012,14(2):28-31. |
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| Authors: | Sang Liheng Du Xueqiao |
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| Institution: | Sang Liheng,Du Xueqiao |
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| Abstract: | In order to characterize the dependence in stock prices and the stock price jumps caused by the arrival of significant information in markets,this article assumes the stock price follows with a non-homogeneous Poisson jump-diffusion process scores and derives the pricing formulas of the two exotic options by martingale method by the way of the existing integral theory. |
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| Keywords: | Fractional-Jump-diffusion risk-neutral measure capped calls deductible calls |
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