股票价格服从跳—扩散过程的期权定价模型被引量：4

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摘要股票价格的跳跃是由于重大信息的到达 ,本文在股票价格的相对跳跃高度与信息有关的假定下 ,推导出期权价格必须满足的偏微分方程 ,并给出欧式期权定价公式。

作者陈超邹捷中刘国买

机构地区长沙铁道学院科研所

出处《管理工程学报》 CSSCI 2001年第2期74-75,共2页 Journal of Industrial Engineering and Engineering Management

关键词期权定价跳跃-扩散过程相对跳跃高度股票价格偏微分方程欧式期权定价公式

参考文献5

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管理工程学报

2001年第2期

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