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一类二元跳扩散模型的欧式期权定价 被引量:3

Pricing European Options in a Bivariate Jump-diffusion Model
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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
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参考文献8

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