跳-扩散模型下连续履约价期权的定价

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摘要本文运用期权的风险中性定价理论,在标的资产价格服从poisson跳扩散模型,且跳跃高度为常数的条件下,利用Girsanov定理,获得唯一的等价鞅测度,利用期权定价的鞅方法得到跳扩散模型下的连续履约价期权定价的解析式。

作者王莉杜雪樵

机构地区合肥工业大学理学院数学系

出处《科技经济市场》 2007年第A09期87-88,共2页

关键词跳扩散模型连续履约价期权 GIRSANOV定理

参考文献4

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科技经济市场

2007年第A09期

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