摘要
考虑在对数正态跳跃扩散模型下,标的资产为几何平均保险期货的欧式看涨保险期货期权的定价,运用保险精算定价的方法,最终给出在对数正态跳跃扩散模型下,几何平均欧式看涨保险期货期权的定价公式.
In this paper, European call insurance futures and options pricing problem built on the priceof underlying assert and geometric average insurance futures under the lognormal distribution diffusive modelsare studied. Finally a new equivalent martingale measure to get the formula of European call insurancefutures options pricing problem is constructed under the lognormal distribution diffusive models.
出处
《哈尔滨师范大学自然科学学报》
CAS
2015年第3期12-14,41,共4页
Natural Science Journal of Harbin Normal University
关键词
对数正态跳跃
保险期货
保险精算
Lognormal distribution diffusive models
Insurance futures options
Equivalent martingale measure
