股票价格服从跳-扩散过程的下降敲出买入期权定价模型

DOWN AND OUT CALL OPTION PRICING MODEL WHEN STOCK PRICING PROCESS IS JUMP DIFFUSION PROCESS

本文讨论了一种新型期权 -下降敲出买入期权定价问题 .建立了由Possion跳 -扩散过程驱动下的股票价格行为模型 .在此模型下 。

In this paper, We conside a kind of exotic option, down and out option. We construct stock pricing model whose price is driven by a Possion jump diffusion process. Under the frame of this market, We deduce an European down and out call option pricing formula.