连续支付红利的跳—扩散模型交换期权定价

Exchange Option Pricing of the Continuous Dividend Payment Model with Jump-diffusion

在假设股票连续支付红利,且股票价格过程服从Poisson跳—扩散过程的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式交换期权的定价公式,推广了Merton关于期权定价的结果.

Suppose that the stock company pays dividend continuously and the price process of the stock follows a jump - diffusion process, this paper establishes the stock pricing model, and gives the pricing formula for the Europe-an exchange option by using insurance actuary pricing method. The result here can be regarded as an extension of the Merton＇ s result on the European option pricing.