双Lévy跳扩散模型下的欧式期权定价

Pricing of European options in double Levy jump-diffusion models

主要讨论在带Lévy跳的Vasicek随机利率模型下,当标的资产的价格也由带Lévy跳的模型给出时,用标的资产和零息债券两种计价单位对相应的欧式期权进行定价。计算中主要用到计价单位转换原理,即将风险中性测度下的计算转换到两种计价单位对应的概率测度下进行,得到了双Lévy跳扩散模型下的欧式期权定价公式。

We obtain the princing formula for European options when the interest rate is given by Vasicek model with Levy jumps.The underlying asset is also described by a model with Levy jumps(that is why we call double Levy).The main method we used was to change the pricing numeraires,which can be achieved by changing the measures by Girsanov transformations.