| 跳扩散模型下的复合期权定价 |
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| 引用本文： | 王献东,杜雪樵.跳扩散模型下的复合期权定价[J].数学的实践与认识,2009,39(14). |
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| 作者姓名： | 王献东 杜雪樵 |
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| 作者单位： | 1. 常州工学院理学院,江苏,常州,213002
2. 合肥工业大学数学系,安徽,合肥,230009 |
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| 摘 要： | 首先建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,利用测度变换的Girsanov定理,找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳扩散过程的欧式期权以及复合期权的定价公式.
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| 关 键 词： | 跳扩散过程 Poisson过程 鞅方法 复合期权 |
Pricing The Compound Options under Jump-Diffusion Model |
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| WANG Xian-dong,DU Xue-qiao.Pricing The Compound Options under Jump-Diffusion Model[J].Mathematics in Practice and Theory,2009,39(14). |
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| Authors: | WANG Xian-dong DU Xue-qiao |
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| Abstract: | The paper construct stochastic different equation of stock price which jump process is Poisson process and the height of jump abide by lognormal distribution firstly.By means of Girsanov theorem, we find equivalent martingale measure and by means of martingale method,we obtain the European option and compound option pricing formulas on stocks with jump-diffusion process by simply mathematical induce. |
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| Keywords: | jump-diffusion process Poisson Process martingale method compound option |
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