Le′vy过程下的债券期权的定价研究

Research on Bond Options Valuation by Le'vy Process

主要运用了Le′vy过程下的It公式以及测度变换得到了Le′vy过程下的HJM模型,在推广的HJM模型下,应用远期鞅测度方法,给出了Le′vy过程下欧式债券期权价格的闭式解.

The HJM model by Le＇vyprocess is given by It formula as well as the measure transformation.In the promotion of the HJM model,the formula in closed form for the valuation of European bond options is given by forward measure approach.