levy模型下复合期权的定价

Price of Compound Option under Levy Model

假设风险资产价格过程遵循levy模型,在股票期望收益率、波动率和无风险利率均为确定性时间函数的前提下,利用鞅方法和测度变换给出了levy模型下复合期权的一般定价公式和精确定价公式.

In this paper the risky asset price is assumed to follow levy process.Some general and accurate formulaes for the exotic options is then obtained by applying martingale methods and the change of probability measure when the expected rate of return and volatility of risky asset and unrisky interest are all determined time-dependent functions.