标的资产价格服从跳—扩散过程的具有随机寿命的未定权益定价

STOCHASTIC LIFE CONTINGENT CLAIM WITH THE UNDERLYING ASSET OBEYING JUMP-DIFFUSION PROCESS

本文在假设被终止或取消的风险与重大信息导致的标的资产价格跳跃的风险为非系统风险的情况下 ,应用无套利资本资产定价 ,推导出了标的的资产的价格服从跳—扩散过程具有随机寿命的未定权益满足的偏微分方程 ,然后应用 Feynman- kac公式获得了未定权益的定价公式。

This paper supposes that the risk caused by stochastic stopping is nonsystematic, uses the principle of no arbitrage capital asset pricing, deduces the partial differential equation that contingent claim obeys when the underlying asset price obeys jump diffusion process and contingent claim has stochastic life; then, obtains the pricing formula by the Feynman kac formula.