广义欧式加权算术平均价格一揽子期权定价  

Pricing of Basket Options Based on Generalized European Weighting Arithmetic Average Price

作　　者：张东[1] 鹿长余[2] 

机构地区：[1]上海理工大学理学院,上海200093 [2]上海金融学院金融研究中心,上海201209

出　　处：《上海金融学院学报》2007年第5期45-51,共7页Journal of Shanhai Finance University

基　　金：国家自然科学基金(10471043);上海高校选拔培养优秀青年教师科研专项基金项目(563802)

摘　　要：本文在一揽子期权(Basket Options)定价理论的基础上,对期权的标的价格引入跳跃—扩散过程进行建模,用几何布朗运动描述其动态变化过程,用Possion过程刻画资产价格受新的信息和稀有偶发时间的冲击所发生跳跃的计数过程,用对数正态随机变量描述跳跃对应的跳跃幅度,有模型限定下,运用ItM-Skorohod微分公式和等价鞅测度变换,得出加权算术平均价格一揽子期权的一个推广的解析定价公式。The article establishes the model of Jump-diffusion for pricing of option, based on basket options pricing. The article uses GBM to describe its dynamic process and Possion to demonstrate the counting process of jump of capital price under the effect of new information and accidental events. The article uses log-normal random variables to describe the jump range. Under certain model, the article gets a general pricing equation of basket options based on weighting arithmetic average price by It-Skorohord differential equation and equivalent martingale measure.

关 键 词：加权算术平均 一揽子期权 期权定价 风险中性 

分 类 号：F830.9[经济管理—金融学]