具有跳跃特征的资产价格过程的期权定价模型研究  

A Study on Option Pricing Model on the Assets Pricing Process with Jump

作　　者：陈金龙[1] 

机构地区：[1]华侨大学经济管理学院,福建泉州362011

出　　处：《运筹与管理》2004年第5期121-126,共6页Operations Research and Management Science

基　　金：国务院侨办社会科学基金资助项目(02QSK05)

摘　　要：资产价格具有跳跃特征时,衍生于该资产的期权就不能利用传统的Black Schoels公式进行定价。本文主要研究基于Poisson过程和固定跳跃Merton模型的期权定价与风险对冲问题,利用e 套利定价法,得到期权的风险对冲策略所满足的偏微分方程和近似期权定价。It is impossible to use the traditional Black-Schoeles equation to price the option derived from assets that the price process contains jumps. This paper explores the issues on pricing and hedging for the option on the Poisson process and Merton process with jumps of deterministic magnitude. By the ways of e-arbitrage, the partial differential equations to decide the hedging strategy for the option are obtained, and an approximation value is gained by the principle of no-arbitrage.

关 键 词：金融学 期权定价模型 e-套利 MERTON模型 POISSON过程 

分 类 号：F830.9[经济管理—金融学]