| 基于外汇汇率买入的带跳扩散股票的期权定价 |
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| 引用本文： | 李文汉,沈玮玮,王薇.基于外汇汇率买入的带跳扩散股票的期权定价[J].内江师范学院学报,2011,26(8):24-26. |
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| 作者姓名： | 李文汉 沈玮玮 王薇 |
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| 作者单位： | 石家庄经济学院数理学院,河北石家庄,050031 |
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| 基金项目： | 河北省教育厅科研项目，石家庄经济学院校内科研项目 |
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| 摘 要： | 在风险中性假设下，通过建立以外币计价的股票价格服从带跳扩散过程的随机微分方程和外币汇率的随机微分方程，考虑到影响外汇汇率的因素和影响股票价格因素的相关性，得到了与之相关联的买入的以本币计价的欧式期权定价公式．
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| 关 键 词： | 跳扩散过程 汇率 鞅定价方法 风险中性 |
The Option Pricing for the Stocks with Jump Diffusion Based on Foreign Exchange Buying Rate |
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| LI Wen-han,SHEN Wei-wei,WANG Wei.The Option Pricing for the Stocks with Jump Diffusion Based on Foreign Exchange Buying Rate[J].Journal of Neijiang Teachers College,2011,26(8):24-26. |
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| Authors: | LI Wen-han SHEN Wei-wei WANG Wei |
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| Institution: | LI Wen-han,SHEN Wei-wei,WANG Wei(College of Mathematics and Physics,Shijiazhuang University of Economics,Shijiazhuang,Hebei 050031,China) |
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| Abstract: | In case of risk neutral, by constructing stochastic differential equation in which the stock price calculated by use of foreign currency conforms to jump diffusion and the stochastic differential equation of foreign currency exhange rate, and taking into |
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| Keywords: | diffusion process with jumps foreign exhange martingale pricing method risk-neutral |
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