| 基于跳扩散过程的数据选择权定价 |
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| 引用本文： | 胡素敏,徐华锋.基于跳扩散过程的数据选择权定价[J].数学理论与应用,2012(1):52-56. |
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| 作者姓名： | 胡素敏 徐华锋 |
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| 作者单位： | 河南城建学院数理系 |
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| 基金项目： | 国家自然科学基金(70701017);河南省科技计划(112400450212);河南省教育厅自然科学研究(2011A110002) |
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| 摘 要： | 本文在风险中性原理下研究基于跳扩散过程的数据选择权定价问题，推导了标的资产价格服从跳扩散过程的数据选择权的定价公式。
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| 关 键 词： | 定价 数据选择权 跳扩散过程 |
Pricing of Digital Options with Underlying Asset Following Jumping Diffisuion Process |
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| Hu Sumin Xu Huafeng.Pricing of Digital Options with Underlying Asset Following Jumping Diffisuion Process[J].Mathematical Theory and Applications,2012(1):52-56. |
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| Authors: | Hu Sumin Xu Huafeng |
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| Institution: | Hu Sumin Xu Huafeng(Department of physics and mathematics,Henan univresity of ubran and construction,Pingdingshan,467036) |
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| Abstract: | The pricing of Digital Options when the underlying assets follow jump diffusions is studied.By using the risk neutral valuation principle,the pricing formulae of standard Digital Options are obtained when the underlying stock price is depicted by jump diffusion process. |
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| Keywords: | Pricing Digital Options Jumping diffision process |
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