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跳跃扩散模型下一篮子期货期权定价 被引量：1

Pricing basket future options in jump-diffusion models
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摘要 在多维跳跃扩散期货市场模型下,应用远期鞅测度方法获得了欧式一篮子期货期权的Black-Scholes定价公式. A model of future market in which the prices of k futures are governed by a m-dimensional Brownian motion and a l-dimensional Poisson process is considered. Applying the forward martingale measure method,the Black-Scholes pricing formula for an European basket future option is obtained.
作者 蒋英 林建忠
机构地区 上海电力学院数理系 上海交通大学数学系
出处 《华东师范大学学报（自然科学版）》 CAS CSCD 北大核心 2010年第6期169-177,共9页 Journal of East China Normal University(Natural Science)
基金 国家973基础研究重大项目(2007CB814903)
关键词 跳跃扩散模型 一篮子期货期权 等价鞅测度 jump-diffusion model basket future option equivalent martingale measure
分类号 O211.6 [理学—概率论与数理统计]
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参考文献15

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二级参考文献24

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华东师范大学学报（自然科学版）
2010年 第6期

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