股票价格服从跳—扩散过程的两值期权定价模型

Binary Option Pricing Model When Stock Pricing Process Is a Jump-Diffusion Process

本文讨论了一种新型期权——两值期权的定价问题 .建立由 Possion跳—扩散过程驱动下的股票价格模型 ,在此模型下推导出期权的价值方程 。

In this parper,we consider a kind of exotic option—binary option pricing problem,construct stock pricing model whose price is driven by a possion jump—diffusion process.Under the frame of this market,we deduce the value equation,and give option pricing formula.