定期支付红利的跳扩散模型的期权定价

Option pricing of a dividends-payment model with a jump-diffusion

目的讨论跳跃过程是较一般的计数过程的期权定价问题。方法假定股票支付红利,利用了随机分析中的鞅方法。结果推广了Merton关于欧式期权定价的结果。结论获得了欧式期权的定价公式和买权与卖权之间的平价关系。

Aim To ir;vestigate the option pricing model in which the jump process is a comparatively general counts process. Methods Martingale method in stochastic analysis is used on the assumption that stock company pays dividend. Results The result of Merton on European option pricing is generalized. Conclusion The formula of European option pricing is obtained as well as the fair price relation between the sales power and the buy power.