| PRICING EUROPEAN OPTION IN A DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL WITH TWO MARKET STRUCTURE RISKS AND ITS COMPARISONS |
| |
| 引用本文： | Deng Guohe. PRICING EUROPEAN OPTION IN A DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL WITH TWO MARKET STRUCTURE RISKS AND ITS COMPARISONS[J]. 高校应用数学学报(英文版), 2007, 22(2): 127-137. DOI: 10.1007/s11766-007-0201-x |
| |
| 作者姓名： | Deng Guohe |
| |
| 作者单位： | School of Mathematics, Guangxi Normal University, Guilin 541004, China |
| |
| 摘 要： | Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful.
|
| 关 键 词： | 双指数跳跃-扩散模型 欧式期权 定价 市场结构风险 比较 |
| 收稿时间： | 2006-09-20 |
| 修稿时间： | 2006-09-20 |
Pricing European option in a double exponential jump-diffusion model with two market structure risks and its comparisons |
| |
| Deng Guohe. Pricing European option in a double exponential jump-diffusion model with two market structure risks and its comparisons[J]. Applied Mathematics A Journal of Chinese Universities, 2007, 22(2): 127-137. DOI: 10.1007/s11766-007-0201-x |
| |
| Authors: | Deng Guohe |
| |
| Affiliation: | (1) School of Mathematics, Guangxi Normal University, Guilin, 541004, China |
| |
| Abstract: | Using Fourier inversion transform, P.D.E. and Feynman-Kac formula, the closedform solution for price on European call option is given in a double exponential jump-diffusion model with two different market structure risks that there exist CIR stochastic volatility of stock return and Vasicek or CIR stochastic interest rate in the market. In the end, the result of the model in the paper is compared with those in other models, including BS model with numerical experiment. These results show that the double exponential jump-diffusion model with CIR-market structure risks is suitable for modelling the real-market changes and very useful. |
| |
| Keywords: | double exponential distribution jump-diffusion model market structure risk |
| 本文献已被 CNKI 维普 万方数据 SpringerLink 等数据库收录！ |
