基于Lévy模型的重置期权的定价与实证分析

Pricing of Exotic Option under Lévy Model and Demonstration Analysis

将传统的B-S模型下的期权定价公式推广到了带跳的Lévy模型,在随机积分中利用鞅方法给出了重置期权基于Lévy模型的精确定价公式.结合核密度估计和极大似然估计法给出了模型中未知参数的估计,并进行实证分析,作出了预测.

This text extend risky asset price from the Black - Schotes model to the levy model with jumps. Some general and accurate formulae for the exotic options is then obtained by applying martingale methods. We give the corresponding estimates of unknown parameters which are involved in the risky asset price according to kernel density estimate and maximum likely estimate method. Also we gain forecast through demonstration analysis.