| 有限状态Q过程波动率与跳组合情形的期权定价 |
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| 引用本文： | 苏军,杨秀妮,乔宝明.有限状态Q过程波动率与跳组合情形的期权定价[J].数学的实践与认识,2010,40(3). |
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| 作者姓名： | 苏军 杨秀妮 乔宝明 |
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| 作者单位： | 西安科技大学理学院,陕西,西安,710054 |
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| 基金项目： | 陕西省科技计划项目(2009KRM99); 陕西省教育厅专项科研计划项目(09JK716) |
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| 摘 要： | 引入了有限状态Q过程随机波动率与复合Poisson过程组合的资产价格动态模型,得到了该组合模型下欧式看涨期权定价的一般公式,推广了Hull和White的结论.最后通过数值模拟,充分体现了期权价格对初始时刻波动率大小的依赖.
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| 关 键 词： | 欧式期权 跳-扩散模型 复合Poisson过程 有限状态Q过程 |
Option Pricing under the Combination of a Finite State Q Volatility Process and a Jump Process |
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| SU Jun,YANG Xiu-ni,QIAO Bao-ming.Option Pricing under the Combination of a Finite State Q Volatility Process and a Jump Process[J].Mathematics in Practice and Theory,2010,40(3). |
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| Authors: | SU Jun YANG Xiu-ni QIAO Bao-ming |
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| Institution: | SU Jun,YANG Xiu-ni,QIAO Bao-ming (School of Science,Xi\'an University of Science , Technology,Xi\'an 710054,China) |
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| Abstract: | A new price model is proposed in this paper,where asset price is given by the combination of a finite state Q volatility process and a compound Poisson process.The general formula of European call option pricing under this model has been derived,and the results of Hull and White are generalized.Furthermore,by numerical simulations for jumpdiffusion model with Q process volatility,we show that option price depends on the volatility of initial time. |
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| Keywords: | European option jump-diffusion model compound poisson process finite state Q process |
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