摘要
假设资产股票价格的跳过程为比Possion过程更一般的一类更新过程,考虑受多个跳跃源影响的情况下,利用等价鞅测度变换方法,给出了具有随机利率的跳扩散模型的期权定价公式.
As a kind of special renewal process,it was assumed that jump process in underlying assets stock price was more common than Poisson process.Impacted by the multiple sources of jumps,it was derived the pricing formulas by equivalent martingal transformation measure with the risk-neutral hypothesis.
出处
《郑州大学学报（理学版）》
CAS
北大核心
2012年第1期33-36,共4页
Journal of Zhengzhou University:Natural Science Edition
基金
河北省教育厅项目
编号Z2008136
关键词
多个跳跃源
跳扩散模型
期权定价
更新过程
随机利率
multiple sources of jumps
jump-diffusion model
option pricing
renewal process
stochastic interest rate
