跳扩散模型中远期生效看涨期权的定价(英文)

Pricing forward starting call option in a jump diffusion model

通过测度变换的方法给出了双指数跳扩散模型中远期生效看涨期权的价格公式.此外,还考虑了当股票跳的大小的对数满足一般分布时远期生效看涨期权的定价问题.所得结果可推广到随机利率和随机波动的情况.

By the way of change of measure, a closed solution of pricing formula of European forward starting call option was given in a double exponential jump diffusion model. Moreover, a problem of pricing forward call option when the log jump size has a general distribution was also considered.