摘要
用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了一类多资产期权——欧式交换期权的定价公式.该公式是标准跳扩散模型下的欧式期权及欧式交换期权定价公式的推广.
The pricing formulas for European exchange option were obtained using insurance actuary pricing methods, where the underlying asset follows a fractional jump-diffusion process with the time-dependent parameters (expected rate, volatility and risk-less rate). These pricing formulas generalize the corresponding European option and European ex- change option pricing on jump-diffusions.
出处
《经济数学》
北大核心
2009年第2期23-29,共7页
Journal of Quantitative Economics
基金
重庆市科委自然科学基金计划资助项目(CSTC
2007BB2123)