| 分数跳-扩散环境下几种新型期权定价模型 |
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| 引用本文： | 薛红,孙玉东.分数跳-扩散环境下几种新型期权定价模型[J].数学的实践与认识,2012,42(24). |
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| 作者姓名： | 薛红 孙玉东 |
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| 作者单位： | 西安工程大学理学院,陕西西安,710048 |
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| 摘 要： | 假定股票价格遵循分数跳-扩散过程,利用公平保费原则和价格过程的实际测度,获得几种新型期权——欧式看涨幂期权、欧式上封顶及下保底看涨幂期权定价公式.对期权定价模型进行了推广.
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| 关 键 词： | 期权定价 保险精算定价 分数-跳扩散过程 |
Exotic Options Pricing Model in Fractional Jump-diffusion Environment |
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| XUE Hong
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SUN Yu-dong.Exotic Options Pricing Model in Fractional Jump-diffusion Environment[J].Mathematics in Practice and Theory,2012,42(24). |
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| Authors: | XUE Hong SUN Yu-dong |
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| Abstract: | Assume that stock price process obeys fractional jump-diffusion process,the pricing formulae for some exotic options including power option,cap option are obtained by the physical probabilistic measure of price process and the principle of fair premium.The option pricing model is generalized. |
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| Keywords: | option pricing actuarial pricing fractional jump-diffusion |
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