| 分数跳-扩散运动下欧式复杂任选期权定价 |
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| 引用本文： | 牛淑敏,徐云.分数跳-扩散运动下欧式复杂任选期权定价[J].数学理论与应用,2012(2):39-46. |
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| 作者姓名： | 牛淑敏 徐云 |
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| 作者单位： | 新疆大学数学与系统科学学院 |
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| 摘 要： | 本文假定股票价格过程服从分数跳一扩散运动，且期望收益率和波动率均为常数，在市场无套利的情形下，利用拟鞅定价的方法，得到了欧式复杂任选期权的解析定价公式．
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| 关 键 词： | 欧式复杂任选期权 拟鞅定价 分数跳-扩散运动 |
The Pricing of European Complex Chooser Option in Fractional Jump-diffusion Process |
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| Niu Shumin Xu Yun.The Pricing of European Complex Chooser Option in Fractional Jump-diffusion Process[J].Mathematical Theory and Applications,2012(2):39-46. |
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| Authors: | Niu Shumin Xu Yun |
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| Institution: | Niu Shumin Xu Yun(College of Mathematics and System Science,Xin jiang University,Urumqi,830046) |
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| Abstract: | Assuming the stock price process follows a fractional jump-diffusion motion,with the expected rate and volatility are constant,under the condition of fractional market is no arbitrage,using the method of quasi-martingale pricing,the analytic pricing formula of European complex chooser option is given in this paper. |
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| Keywords: | Chooser Option Quasi-martingale Pricing Fractional Jump-diffusion Motion |
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