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随机利率下有红利支付的跳扩散模型的期权定价 被引量:3

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摘要 假定股票价格的跳过程为比poisson过程更一般的跳过程一类特殊的更新过程,利率是随机的,股票支付红利,且股票的红利率,预期收益率和波动率都是时间的确定性连续函数,在风险中性的假设下,得到了随机利率下有红利支付的跳扩散模型的期权定价公式。
作者 蔡华 苗杰
出处 《昌吉学院学报》 2007年第3期10-13,共4页 Journal of Changji University
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共引文献59

同被引文献16

  • 1杨云锋,刘新平.股票价格跳过程为复合Poisson过程的期权定价模型[J].陕西师范大学学报(自然科学版),2005,33(3):14-17. 被引量:13
  • 2胡素华,张世英,张彤.双指数跳跃扩散模型的McMC估计[J].系统工程学报,2006,21(2):113-118. 被引量:25
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