摘要
假定股票价格遵循分数跳-扩散过程,利用公平保费原则和价格过程的实际测度,获得几种新型期权——欧式看涨幂期权、欧式上封顶及下保底看涨幂期权定价公式.对期权定价模型进行了推广.
Assume that stock price process obeys fractional jump-diffusion process, the pricing formulae for some exotic options including power option, cap option are obtained by the physical probabilistic measure of price process and the principle of fair premium. The option pricing model is generalized.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第24期136-141,共6页
Mathematics in Practice and Theory
基金
陕西省自然科学基金(2010JM1010)
