| 欧式双向期权的两种定价比较 |
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| 引用本文： | 郝振莉,董晓娜,闫海峰.欧式双向期权的两种定价比较[J].大学数学,2010,26(1). |
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| 作者姓名： | 郝振莉 董晓娜 闫海峰 |
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| 作者单位： | 1. 黄河水利职业技术学院基础部,河南,开封,475000
2. 南京财经大学金融学院,保险系,江苏,南京,210046 |
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| 摘 要： | 在股票价格服从泊松跳模型下,分别利用保险精算方法与无套利定价方法给出了欧式双向期权的定价公式;通过对这两种结果的比较发现,当股票价格服从特定的泊松跳模型时两种定价公式是相同的.
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| 关 键 词： | 金融市场 无套利定价 保险精算定价 泊松跳模型 期权定价 |
Comparison of the Two Pricing on Bi-Direction European Stock Option |
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| HAO Zhen-li,DONG Xiao-na,YAN Hai-feng.Comparison of the Two Pricing on Bi-Direction European Stock Option[J].College Mathematics,2010,26(1). |
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| Authors: | HAO Zhen-li DONG Xiao-na YAN Hai-feng |
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| Institution: | 1.Department of Basic Course;Yellow River Conservancy Vocational Technical College;Kaifeng 475003;China;2.School of Finance and Banking;Nanjing University of Finance and Economics;Nanjing 210046;China |
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| Abstract: | Under the hypothesis of stock price submitting to Poisson type jump process model,we obtain two pricing formulas of Bi-direction European option by using actuarial and no-arbitrage pricing approach respectively in this paper.Then,by making a comparison between two formulas,we find that these two pricing formulas are same when stock price submits to the special Poisson type jump process model. |
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| Keywords: | financial market option pricing no-arbitrage pricing actuarial pricing Poisson type jump model |
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