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Black-Scholes期权定价公式推广
引用本文:魏正元.Black-Scholes期权定价公式推广[J].数学的实践与认识,2005,35(6):35-40.
作者姓名:魏正元
作者单位:重庆工学院数理学院,重庆,400050
摘    要:在Black-Scholes期权定价模型的基础上,进一步考虑标的资产受多个跳跃源影响的情况,用含有多维Poisson过程的Ito-Skorohod随机微分方程描述标的资产价格的动态运动,应用等价鞅测度变换方法导出一般形式的欧式期权定价公式,并讨论了利率,波动率不是常数情况下的拓广形式.

关 键 词:多个跳跃源  期权定价  Black-Scholes公式
修稿时间:2003年12月30

A General Formula for Black-Scholes Option Pricing
WEI Zheng-yuan.A General Formula for Black-Scholes Option Pricing[J].Mathematics in Practice and Theory,2005,35(6):35-40.
Authors:WEI Zheng-yuan
Abstract:We value European options when the underling asset follows a mixed jumpdiffusion process involving various sources of jumps. These jumps are assumed independent of each other. With each type having a lognormally distributed jump size and a Poissondistribution arrive time, and all jumps of risk is nonsystematic. Based on the theory of equivalent martingale measure transformation and under the environments of the BlackScholes′, an analytic solution is presented for European claims (call or put options) with multiple sources of jumps.
Keywords:multiple sources of jumps  option pricing  Black-Scholes formula  
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