| 股价遵循分数跳扩散的混合型双标的两值期权定价 |
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| 引用本文： | 周树克,胡素敏. 股价遵循分数跳扩散的混合型双标的两值期权定价[J]. 数学的实践与认识, 2014, 0(14) |
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| 作者姓名： | 周树克 胡素敏 |
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| 作者单位： | 河南城建学院数理学院; |
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| 基金项目： | 河南省科技计划(112300410191) |
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| 摘 要： | 应用风险中性定价原理,研究标的股价服从分数跳扩散过程的混合型双标的两值期权的定价问题,并得出定价公式,并与股价服从标准布朗运动的定价公式做出比较分析.
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| 关 键 词： | 分数布朗运动 混合型两值期权 跳扩散过程 |
Pricing of Mixed Bivariate Binary Options with Stock Prices Following Fractional Jumping Diffusion Process |
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| Abstract: | The pricing of mixed bivariate options when the underlying assets following fractional jump diffusion process are mainly studied.By using the risk neutral valuation principle,the pricing formulae of bivariate binary options are obtained when the underlying stock price is depicted by fractional jumping diffusion process.Then comparative analysis is made with option pricing formulae when the stock prices following standard brown motion. |
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| Keywords: | frational brown motion mixed bivariate binary options jumping diffusion process |
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