| 基于跳跃波动率的未定权益定价模型 |
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| 引用本文： | 陈超,邹捷中. 基于跳跃波动率的未定权益定价模型[J]. 数学的实践与认识, 2006, 36(12): 91-95 |
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| 作者姓名： | 陈超 邹捷中 |
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| 作者单位： | 1. 浙江万里学院商学院,浙江,宁波,315100
2. 中南大学数学学院,湖南,长沙,410075 |
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| 摘 要： | 讨论了具有随机波动率的未定权益定价问题,建立了两状态波动率的股票价格行为模型,在股票价格过程是连续过程、跳风险不可定价的假设下,推导出未定权益的定价公式.
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| 关 键 词： | 未定权益定价 波动率 跳跃 鞅 |
| 修稿时间： | 2006-08-03 |
A Study on Option Pricing Model Based on Jump-Volatility |
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| CHEN Chao,ZOU Jie-zhong. A Study on Option Pricing Model Based on Jump-Volatility[J]. Mathematics in Practice and Theory, 2006, 36(12): 91-95 |
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| Authors: | CHEN Chao ZOU Jie-zhong |
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| Abstract: | This paper deals with the option pricing with stochastic volatility,sets up the stock price dynamics with two states of volatility and deduce the European option pricing formula under the assumption that the stock price processes are continuous and jump risk can′t be priced. |
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| Keywords: | option pricing volatility jump martingale |
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