双分数跳-扩散过程下幂期权定价模型

The power option pricing model in bi-fractional jump-diffusion process

假设标的资产的价格服从双分数跳-扩散过程,在利率、波动率均为常数的情况下,运用保险精算的方法研究幂期权的定价问题,给出双分数跳-扩散过程下欧式幂期权的定价公式,并与股票价格服从分数-跳扩散过程下欧式幂期权的定价模型进行比较,验证了该公式是分数-跳扩散过程下欧式幂期权定价公式的推广.

Assume that stock price follows a bi‐fractional jump‐diffusion process ,the interest rate and volatility rate are constant ,the power option is discussed using the actuarial approach , and its pricing formula is obtained .Then comparative analysis is made of standard European power option pricing model when stock price follows jump diffusion process ,which proves that the pricing formula gains popularity in the corresponding European power option pricing on jump‐diffusions .