| 随机利率下股价服从多个跳源的跳-扩散模型的连续履约价期权定价 |
| |
| 引用本文： | 刘罡.随机利率下股价服从多个跳源的跳-扩散模型的连续履约价期权定价[J].数学理论与应用,2013(1):82-88. |
| |
| 作者姓名： | 刘罡 |
| |
| 作者单位： | 新疆大学数学与系统科学学院 |
| |
| 摘 要： | 假定标的资产服价格的跳过程服从一类特殊的更新跳过程,考虑多个跳源影响,在Vasicek扩展利率模型下,利用鞅方法给出连续履约价期权的定价公式.
|
| 关 键 词： | 更新过程 鞅方法 随机利率 连续履约价期权 |
Pricing of Continuous Strike Options Following Jump-Diffusion Models With Multiple Source Jumps and Random Interest Rates |
| |
| Liu Gang.Pricing of Continuous Strike Options Following Jump-Diffusion Models With Multiple Source Jumps and Random Interest Rates[J].Mathematical Theory and Applications,2013(1):82-88. |
| |
| Authors: | Liu Gang |
| |
| Institution: | Liu Gang(College of Mathematics and System Science,Xinjiang University,Urumqi 830046,China) |
| |
| Abstract: | Assuming that the underlying asset follows a special renewal process, we give a pricing formula for a continuous strike option following a jump - diffusion model with multiple source jumps and Vasicek type interest rates. |
| |
| Keywords: | Renewal Process Martingale Approach Random Interest Rate Continuous Strike Option |
| 本文献已被 CNKI 维普 等数据库收录！ |
