跳-扩散幂型支付的期权定价公式

The Pricing Formulas of European Options with Power Payoffs in the Jump-Diffusion Process

假设股票价格服从跳扩散过程,并且参数为时间函数的条件下,利用等价鞅测度变换方法得到了幂型支付的欧式期权的定价公式.并且将其推广到有N个独立跳跃源的定价模型中.

Under the assumption that stocks price process driven by Poisson jump-diffusion process, and parameters are function of time, based on the theory of equivalent martingale measure transformation, we get the pricing formulas of European options with power payoffs. We also discussed the option pricing with multiple sources of jumps.