| 基于跳扩散过程的欧式交换期权定价 |
| |
| 引用本文： | 黄双双,贺战兵.基于跳扩散过程的欧式交换期权定价[J].经济数学,2011,28(1):32-35. |
| |
| 作者姓名： | 黄双双 贺战兵 |
| |
| 作者单位： | 1. 嘉兴学院,数理与信息工程学院应用数学教研室,浙江,嘉兴,314001
2. 湖南大众传媒职业技术学院,湖南,长沙,410100 |
| |
| 基金项目： | 湖南省自然科学基金项目(10JJ3071) |
| |
| 摘 要： | 考虑了股票价格服从带时滞泊松跳的跳扩散模型的欧式交换期权定价问题,运用无套利理论推导出期权价值微分方程,利用变换计价单位的方法,得到交换期权的显示定价公式.
|
| 关 键 词： | 跳扩散过程 交换期权 随机微分方程 |
Pricing of European Exchange Options on Jump Diffusion Process Model |
| |
| HUANG Shuang shuang,HE Zhan bing.Pricing of European Exchange Options on Jump Diffusion Process Model[J].Mathematics in Economics,2011,28(1):32-35. |
| |
| Authors: | HUANG Shuang shuang HE Zhan bing |
| |
| Institution: | HUANG Shuang-shuang1,HE Zhan-bing2(College of Mathematics,Physics and Information Engineering,Jiaxing University,Jiaxing 314001,China,2.Hunan Mass Media Vocational Technical College,Changsha,Hunan 410100,China) |
| |
| Abstract: | The problem of pricing european exchange options on a jump-diffusion model was considered.This paper assumes that the stock price is driven by jump-diffusion process,and the jump process is a homogenous poisson process.The differential equation of option value was derived with no-arbitrage theory.By using the method of numeraire conversion,the exact formula for pricing exchange option was obtained. |
| |
| Keywords: | jump-diffusion process exchange option stochastic differential equation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《经济数学》浏览原始摘要信息 |
| 点击此处可从《经济数学》下载免费的PDF全文 |
|
