| 跳扩散模型下的欧式障碍期权的定价 |
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| 引用本文： | 王莉,杜雪樵.跳扩散模型下的欧式障碍期权的定价[J].经济数学,2008,25(3). |
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| 作者姓名： | 王莉 杜雪樵 |
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| 作者单位： | 合肥工业大学数学系,合肥,230009 |
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| 摘 要： | 本文在标的资产价格服从跳扩散模型的假设下,运用Girsanov定理获得了价格过程的等价鞅测度,用期权定价的鞅方法得出障碍期权的定价公式.
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| 关 键 词： | 障碍期权 跳扩散过程 Girsanov定理 期权定价 |
PRICING OF EUROPEAN BARRIER OPTIONS ON JUMP-DIFFUSION MODEL |
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| Wang Li,Du Xueqiao.PRICING OF EUROPEAN BARRIER OPTIONS ON JUMP-DIFFUSION MODEL[J].Mathematics in Economics,2008,25(3). |
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| Authors: | Wang Li Du Xueqiao |
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| Institution: | Wang Li,Du Xueqiao (College of sciences,Hefei University of Technology,Hefei,230009,China) |
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| Abstract: | assumingthat the stock price process is driven by Poisson jump-diffusion,using Girsanov theorem,the only equivalent martingale measure is obtained.And using martingale measure,the pricing of European barrier options on jump-diffusion model were given. |
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| Keywords: | Barrier options jump-diffusion process martingale measure |
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