摘要
在基础证券建模为某种随机过程(其漂移项在一些有限状态之间转换)的情形下,研究欧式期权的定价.在类Gisanov测度变换下通过风险中性定价得到了期权价格.然后应用热核方法,给出了欧式期权价格的近似公式.
The pricing of the European options is studied with the underlying security being modelled by the stochastic process which drift switches between a finite number of states. With a Girsanov-like change of mea- sure, the option price using risk-neutral valuation is derived. Then by applying the heat kernel theory, an ap- proximate formula for the European option values is provided.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2013年第5期1-8,共8页
Acta Scientiarum Naturalium Universitatis Nankaiensis
关键词
状态转移
期权定价
热核
regime switehing
option pricing
heat kernel
