跳-扩散过程下欧式交换期权的鞅定价方法研究

Research on Martingale Pricing Method of European Exchange Option in Jump-diffusion Process

通过改变Margrabe模型中几何布朗运动的基本假设,讨论当标的资产价格服从跳-扩散过程下(跳过程是比泊松分布更一般的计数过程)的欧式交换期权定价问题。在风险中性的假设下,使用鞅测度方法推导出多资产欧式期权定价公式。

By changing basic assumptions of geometric Brownian motion in the Margrabe model,the pricing problem of European exchange option was discussed when underlying asset processes were jump-diffusion processes(Jump process is a counting process that is more general than Poisson distribution).The formula of multi-asset European exchange option was deduced under the risk-neutral hypothesis by martingale method.