| 更新跳跃-扩散过程下的复合期权定价 |
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| 引用本文： | 梁红枫,汤灿琴,任英. 更新跳跃-扩散过程下的复合期权定价[J]. 经济数学, 2011, 28(1): 24-27 |
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| 作者姓名： | 梁红枫 汤灿琴 任英 |
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| 作者单位： | 大连海事大学,数学系,辽宁大连,116026 |
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| 基金项目： | 辽宁省高等教育教学改革研究项目(2009A141); 大连海事大学教改项目(2009Y22)资助 |
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| 摘 要： | 假设关于标的股票的重大信息到达服从更新过程,并假设跳跃高度服从对数正态分布,利用期权定价的鞅方法,推导得到了股票价格服从更新跳跃-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： | 更新过程 期权定价 复合期权 更新跳-扩散过程 |
Pricing of Compound Option Based on Renewal Jump Diffusion Stochastic Process |
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| LIANG Hong feng,TANG Can qin,Ren Yin. Pricing of Compound Option Based on Renewal Jump Diffusion Stochastic Process[J]. Mathematics in Economics, 2011, 28(1): 24-27 |
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| Authors: | LIANG Hong feng TANG Can qin Ren Yin |
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| Affiliation: | LIANG Hong-feng,TANG Can-qin,Ren Yin(Dalian Maritime University Dalian,Liaoning 116026,China) |
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| Abstract: | This paper assumes that the great information coming is a renewal process,while the share price is still a continuous function of time between two pieces of information and the jump height follows lognormal distribution.By means of martingale method,we obtained the European option and compound option pricing formula on stocks with renewal jump-diffusion process. |
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| Keywords: | renewal process option pricing compound option renewal jump-diffusion process |
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