| 标的股票服从更新跳跃-扩散过程的欧式期权定价 |
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| 引用本文： | 张利兵,潘德惠. 标的股票服从更新跳跃-扩散过程的欧式期权定价[J]. 数学的实践与认识, 2008, 38(23) |
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| 作者姓名： | 张利兵 潘德惠 |
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| 作者单位： | 1. 上海立信会计学院,金融学院,上海,201620;上海交通大学,经济管理学院,上海,200052
2. 东北大学,工商管理学院,辽宁,沈阳,110004 |
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| 基金项目： | 上海市教委高水平特色项目 , 国家自然科学基金 |
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| 摘 要： | 市场中重大信息的到达会引起股票价格的跳跃.假设关于标的股票的重大信息到达服从更新过程,利用套期保值和无套利的思想,研究了欧式期权的定价.给出了更新跳跃情况下股票的价格公式和欧式期权应满足的偏微分方程,用Feynman-Kac公式求得欧式买权的价格,并用计算结果进行了验证.
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| 关 键 词： | 期权 更新过程 跳跃-扩散过程 Feynman-Kac公式 |
Pricing of Option Based on Jump-Diffusion Stochastic Process |
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| ZHANG Li-bing,PAN De-hui. Pricing of Option Based on Jump-Diffusion Stochastic Process[J]. Mathematics in Practice and Theory, 2008, 38(23) |
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| Authors: | ZHANG Li-bing PAN De-hui |
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| Affiliation: | 1;2;1.Shanghai Lixin University of Commerce;Shanghai 201620;China;2.Antai School of Economics and Management;Shanghai 200052;China;3.School of Business and Administration of Northeastern University;Shenyang Liaoning 110004;China |
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| Abstract: | The arrival of important information may cause the stock price to jump.Supposing that the information coming is a renewal process,this paper studies the pricing of stock option using the hedge and APT theory,deduces the partial differential equation that the stock option obeys when the underlying stock price obeys renewal jump-diffusion process,obtains the pricing formula by Feynman-Kac Formula,then validate the result with a example. |
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| Keywords: | options renewal process Jump-Diffusion stochastic process Feynman-Kac formula |
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