CEV跳-扩散模型下期权的定价

Pricing of Option under CEV Jump-Diffusion Model

假设股票价格服从CEV跳-扩散模型,先用跳过程的It公式和Feller引理给出股票价格的概率密度函数;然后用复合Poisson过程的测度变换,建立风险中性测度;最后在风险中性测度条件下,用期望收益的无风险折现给出欧式看涨期权的定价公式.

We assumed that the stock price obeyed the CEV jump-dif fusion model.Firstly,we gave the probability density function of the stock price by using Ito formula and Feller lemma of jump process.Secondly,we established the risk neutral measure by using the measure conversion of the compound Poisson process.Finally,under the condition of the risk neutral measure,we gave the pricing formula of the European call option by using the risk-free discount of expected return.