| 跳扩散和随机利率模型下的欧式双向期权定价 |
| |
| 引用本文： | 王志,彭勃,滕宇.跳扩散和随机利率模型下的欧式双向期权定价[J].数学的实践与认识,2010,40(6). |
| |
| 作者姓名： | 王志 彭勃 滕宇 |
| |
| 作者单位： | 1. 宁波工程学院,理学院,浙江,宁波,315016
2. 浙江万里学院,数学研究所,浙江,宁波,315100 |
| |
| 基金项目： | 浙江省高等学校优秀青年教师资助计划; 国家自然科学基金(40901241); 浙江省自然科学基金(Y5090377); 浙江省大学生科技创新活动计划(新苗人才计划) |
| |
| 摘 要： | 假定股票价格的跳跃过程为一类特殊的更新跳过程,即事件发生时间间隔为相互独立且同服从Gamma分布的随机变量序列.利用鞅定价方法,用较简单的数学推导得到了在随机利率情形下跳扩散模型的欧式双向期权定价公式.
|
| 关 键 词： | 更新过程 跳扩散模型 随机利率 鞅 欧式双向期权 |
Pricing of Bi-direction European Option with Jump Diffusion and Stochastic Interest Rates Model |
| |
| WANG Zhi,PENG Bo,TENG Yu.Pricing of Bi-direction European Option with Jump Diffusion and Stochastic Interest Rates Model[J].Mathematics in Practice and Theory,2010,40(6). |
| |
| Authors: | WANG Zhi PENG Bo TENG Yu |
| |
| Institution: | WANG Zhi~1,PENG Bo~2.,TENG Yu~1 (1.School of Sciences,Ningbo University of Technology,Ningbo 315016,China) (2.Institute of Mathematics,Zhejiang Wanli University,Ningbo 315100,China) |
| |
| Abstract: | This paper assumed stock price jump process for a special kind of renewal jump process,that is incident time interval for independent and subordinate to Gamma distribution random variable sequence.We obtain the European bi-direction option pricing formulas with jump diffusion model under the stochastic interest rates by simply mathematical induce by means of martingale method. |
| |
| Keywords: | renewal process jump diffusion model stochastic interest rates martingale European bi-direction option |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
