跳扩散模型下的欧式障碍期权的定价

PRICING OF EUROPEAN BARRIER OPTIONS ON JUMP-DIFFUSION MODEL

本文在标的资产价格服从跳扩散模型的假设下,运用Girsanov定理获得了价格过程的等价鞅测度,用期权定价的鞅方法得出障碍期权的定价公式.

assumingthat the stock price process is driven by Poisson jump-diffusion, using Girsanov theorem, the only equivalent martingale measure is obtained. And using martingale measure, the pricing of European barrier options on jumpdiffusion model were given.