带有Poisson跳的股票价格模型的欧式双向期权定价

Pricing of Bi-direction European options on stocks driven by Poisson jump diffusion process

假定股票价格过程为遵循带非时齐Poisson跳跃的扩散过程,在股票预期收益率、波动率和无风险利率均为时间函数的条件下,利用公平保费原则和价格过程的实际概率测度的保险精算定价方法,得到了有红利支付的欧式双向期权的定价公式.

Under the assumptions that stock price process is driven by non-homogeneous Poisson jumpdiffusion process, the expected rate, volatility and risk-less rate are functions of time, using the method of insurance actuary pricing by physical probabilistic measure of pricing process and the principle of fair premium, some pricing formulas of Bi-direction European options considering the price of stock dividend-payment are obtained.