摘要
假定股票价格的跳过程为计数过程,建立了股票价格服从跳扩散过程的行为模型.运用随机分析中的鞅方法,推导出了股票价格的跳过程为计数过程的欧式期权定价公式,推广了已有的结果.
Assumed that jump process is count process,it is established that the behavior model which the stock pricing process is obedient to jump-diffusion process.The formula of European option which stock price with jump process is count process is deduced by martingale method,and it is extended that the existing conclusions.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第6期40-45,共6页
Mathematics in Practice and Theory
基金
陕西省科技计划资助项目(2009RRM99)
关键词
跳扩散过程
计数过程
期权定价
jump-diffusion process
count process
option pricing
