带有Poisson跳的股票价格模型的期权定价

Pricing Options on Stocks Driven by Poisson Jump Diffusion Process

利用公平保费原则和价格过程的实际概率测度推广了Mogensbladt和HinaHviidRydberg关于欧式期权定价的结果。假定股票价格过程遵循带非时齐Poisson跳跃的扩散过程,并且股票预期收益率、波动率和无风险利率均为时间函数的情况下,获得了欧式期权精确定价公式和买权与卖权之间的平价关系。

Using physical probabilistic measure of price process and the principle of fair premium, we generalize the results of Mogens bladt and Hviid Rydberg on European option pricing. Under the assumptions that stocks price process driven by nonhomogeneous Poisson jumpdiffusion process, and the expected rate μ(t), volatility σ(t) and riskless rate r(t) are function of time, we obtain the accurate pricing formula and putcall parity of European option.