摘要
假定股价的相对跳跃高度服从对数二项式分布,建立了一类二元跳扩散模型,应用鞅方法和测度变换得到了欧式股票期权的价格显式解,并应用于期货期权的定价。最后,通过数值计算分析和比较了二元跳扩散模型与Black-Scholes模型的相应结果。
By applying the martingale approach and the change of numeraire technique,the closed-form solutions of European call option are obtained under jump-diffusion model where the relative jump sizes of stock's price follow a log-binomial distribution,and the pricing formula of the future option is further gained. Finally,the numerical results in our proposed model against the Black-Scholes prices through numerical example are comparatively analyzed.
出处
《广西师范大学学报(自然科学版)》
CAS
北大核心
2008年第2期41-44,共4页
Journal of Guangxi Normal University:Natural Science Edition
基金
国家自然科学基金资助项目(40675023)
广西师范大学博士基金资助项目(2006E24)
关键词
二元跳扩散模型
欧式期权
期货期权
bivariate jump-diffusion model
European options
future options