带常数跳跃模型下欧式期权定价

With Constant Jumping European Option Pricing Model

通过研究一种带有常数跳扩散模型中欧式期权的定价问题,运用带跳的Girsanov定理找到等价鞅测度,于是定价问题可转化为在等价鞅测度下的求期望问题,从而得到欧式看涨期权的定价公式.

In this paper, a kind of European optionpricing in jump diffusion model with constantquestions is studied. The equivalent martingale measure is found through Girsanov theorem of with jumpingSo the pricing problem can be converted into the expected problems which under the equivalent martingalemeasure. European call option pricing formula is gained.