基于跳扩散模型的欧式上升敲入期权定价研究

Pricing of European up-and-inoption based on jump-diffusion model

障碍期权是与路径有关的期权,因而它的定价计算是非常复杂的.在标的资产价格服从跳扩散过程的假设下,应用风险中性定价原理和Girsanov定理研究欧式上升敲入期权的定价问题,分别给出了欧式上升敲入看跌期权和欧式上升敲入看涨期权的定价公式.

Barrier options is path-dependent option,so its price is difficult to calculate.Under the assumption that underlying asset price follows Poisson jump-diffusion,the pricing formula of European up-and-in put option and European up-and-in call option on jump-diffusion model are deduced,using the risk neutral pricing principle and Girsanov theorem.