| 跳-扩散模型下的复合期权定价公式 |
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| 引用本文： | 赵建国,师恪.跳-扩散模型下的复合期权定价公式[J].新疆大学学报(理工版),2006,23(3):257-263,276. |
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| 作者姓名： | 赵建国 师恪 |
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| 作者单位： | 新疆大学数学与系统科学学院 新疆乌鲁木齐830046 |
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| 摘 要： | 运用更一般的G irsanov定理研究了跳-扩散模型下的复合期权的定价问题.通过选取不同的计价单位及概率测度的变换,给出了复合期权的封闭解,从而推广了G ukha l,A g liard i E lettra等人的工作.
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| 关 键 词： | 复合期权 计价单位 跳-扩散 鞅 |
| 文章编号： | 1000-2839（2006）03-0257-07 |
| 收稿时间： | 2005-11-29 |
| 修稿时间： | 2005-11-29 |
The Pricing Formula of Compound Option in Jump-Diffusion Model |
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| ZHAO Jian-guo,SHI Ke.The Pricing Formula of Compound Option in Jump-Diffusion Model[J].Journal of Xinjiang University(Science & Engineering),2006,23(3):257-263,276. |
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| Authors: | ZHAO Jian-guo SHI Ke |
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| Institution: | College of Mathematics and System Science, Xinjiang University, Urumqi , xinjiang 830046, China |
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| Abstract: | The writers of this paper make a study of the pricing problem of compound options which the underlying asset submits to the jump-diffusion models by using a more general Girsanov theorem.The closed form solution is deduced by the way of selecting different numeraire and changing of probability measures.Such work done by Gukhal and Agliardi Elettra was extended to a more general condition-jump-diffusion model. |
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| Keywords: | compound option numeraire Jump-Diffusion martingale |
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