| 双指数跳扩散模型下奇异期权的定价 |
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| 引用本文： | 杨云霞.双指数跳扩散模型下奇异期权的定价[J].数学理论与应用,2011(4). |
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| 作者姓名： | 杨云霞 |
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| 作者单位： | 太原理工大学阳泉学院; |
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| 摘 要： | 在双指数跳扩散模型下,利用已建立的欧式期权定价公式讨论了三种常见的奇异期权——简单任选期权、上限型买权和滞后付款期权的期权定价,得到了这些期权定价的解析公式.这是对双指数跳扩散模型期权定价的补充.
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| 关 键 词： | 双指数跳扩散模型 上限型买权 简单任选期权 滞后付款期权 |
Pricing of Exotic Options in a Double-Exponential Jump-Diffusion Model |
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| Yang Yunxia.Pricing of Exotic Options in a Double-Exponential Jump-Diffusion Model[J].Mathematical Theory and Applications,2011(4). |
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| Authors: | Yang Yunxia |
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| Institution: | Yang Yunxia(Taiyuan University of Technology Yangquan College Shanxi Yangquan 045000) |
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| Abstract: | In a Double-Exponential Jump-Diffusion Model,We use the established explicit formulas for European option pricing to discuss exotic options for capped calls option and simple choosey option and delay payment option,finally we derive the pricing formulas for exotic options.This is supplement for options pricing of double exponential jump diffusion. |
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| Keywords: | Double exponential jump diffusion model Capped calls option Simple choosey option Delay payment option |
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