有限状态Q过程波动率与跳组合情形的期权定价

Option Pricing under the Combination of a Finite State Q Volatility Process and a Jump Process

引入了有限状态Q过程随机波动率与复合Poisson过程组合的资产价格动态模型,得到了该组合模型下欧式看涨期权定价的一般公式,推广了Hull和White的结论.最后通过数值模拟,充分体现了期权价格对初始时刻波动率大小的依赖.

A new price model is proposed in this paper, where asset price is given by the combination of a finite state Q volatility process and a compound Poisson process. The general formula of European call option pricing under this model has been derived, and the results of Hull and White are generalized. Furthermore, by numerical simulations for jump- diffusion model with Q process volatility, we show that option price depends on the volatility of initial time.