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带跳分形市场的期权定价公式 被引量：3

Option Pricing Formula in Fractional Diffusion Market with Jump
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摘要 提出了股价的分形跳跃扩散模型,求出了该模型的解,证明了分形跳跃扩散过程的It公式。在分形跳跃扩散市场是无套利的情况下,找到了一个等价鞅测定,获得了欧式期权定价公式。 A fractional jump-diffusion model of stock price was constructed, the solution of the model was obtained and the Ito formula of fractional jump-diffusion processes was proved, under the condition of fractional market of no arbitrage environment, an equivalent martingale measure was founded and the pricing formula was obtained for European option with a constant dividend yield.
作者 王浩亮 何春雄
机构地区 华南理工大学数学科学学院
出处 《科学技术与工程》 2007年第19期4985-4992,共8页 Science Technology and Engineering
基金 国家自然科学基金项目(705714024)资助
关键词 分形布朗运动 分形It型积分 分形It公式 Wick乘积 欧式期权 鞅和拟鞅 fractional brownian motion stochastic calculus fractional Ito formula fractional Ito integral Wick product jump-diffusion process European option martingale and quas-martingale
分类号 F830.91 [经济管理—金融学]
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参考文献10

  • 1[1]Black F,Scholes M S.The pricing of options and corporate liabilities.J Political Economy,1973:81 (3):637-659
  • 2[2]Merton R C.Option pricing when underlying stock return are disontinuous.Journal of Economics,1976:3(3):125-144
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  • 5[5]Necula C.Option pricing in a fractional Brownian motion environment.Working Paper of the Academy of Economic Studies,Bucharest (Romania) 27,2002:8079-8089
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  • 9[9]Hu Y,Oksendal B,Sulem A Optimal consumption and portfolio in a Black-choles market driven by fractional Brownian motion.Infin Dimens Anal Quantum Prob Relat Top,2003;6:519-536
  • 10[10]Cont R,Tankov P.Financial modelling with jump processes.Chapman & Hall/CRC,2004

同被引文献23

  • 1杨云锋,刘新平.一类具有随机利率的跳扩散模型的期权定价[J].纯粹数学与应用数学,2006,22(1):43-47. 被引量：9
  • 2赵佃立.分数布朗运动环境下欧式幂期权的定价[J].经济数学,2007,24(1):22-26. 被引量：27
  • 3MERTON R C.On the pricing of corporate debt:the risk structure of interest rates[J].Journal of Finance,1974,29(2):449-470.
  • 4BLACK F,SCHOLES M.The pricing of options and corporate liabilities[J].Journal of Political Economy,1973,81(3):637-654.
  • 5BLACK F,COX J.Valuing corporate securities:some effects of bond indenture provision[J].Journal of Finance,1976,31(2):351-367.
  • 6LONGSTAFF F,SCHWARTZ E.A simple approach to valuing risky fixed and floating rate debt[J].Journal of Finance,1995,50(3):789-819.
  • 7BRIYS E D.Valuing risky fixed rate debt:an extension[J].Journal of Financial and Quantitative Analysis,1997,32(2):239-248.
  • 8LIM K G,CHANG Shiwei,CHONG T K.Defaultable debt pricing in multi-factor models[J].International Journal of Theoretical and Applied Finance,2002,5(8):823-844.
  • 9ZHOU C S.The term structure of credit spreads with jump risk[J].Journal of Banking and Finance,2001,25(11):2 015-2 040.
  • 10XUE Hong,SUN Yudong.Pricing european option under fractional jump-diffusion Ornstein-Uhlenbeck model[C] //Conference Proceeding of 2009 International Institute of Applied Statistics Studies.Sydney:AUS-SINO Academic Publishing House,2009:164-169.

引证文献3

二级引证文献5

科学技术与工程
2007年 第19期

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