一个条件数学期望公式在期权定价中的应用

首先证明一个条件数学期望公式,然后建立股票价格的跳过程为Poisson过程,跳跃高度为常数时股票价格过程的随机微分方程,在风险中性的假设下,找等价鞅测度.利用鞅方法和已证明的条件数学期望公式,用较简单的数学推导得到了股票价格股从跳—扩散过程的欧式期权以及复合期权的定价公式.

Pricing The Reload Options under Jump -Diffusion Model

Firstly the paper prove a conditional expectation formula,then construct stochastic different equation of stock price which jump process is Poisson process and the height of jump is a constant.Under the risk-neutral hypothesis,we find equivalent martingale measure and by means of martingale method and the proved conditional expectation,we obtain the European option and compound option pricing formulas on stocks with jump-diffusion process by simply mathematical induce.