跳-扩散模型下的再装期权定价  

PRICING THE RELOAD OPTIONS UNDER JUMP-DIFFUSION MODEL

作　　者：王献东[1] 杜雪樵[1] 

机构地区：[1]合肥工业大学理学院,安徽合肥230009

出　　处：《经济数学》2007年第3期276-282,共7页Journal of Quantitative Economics

摘　　要：本文建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,在风险中性的假设下找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳-扩散过程的欧式再装期权定价公式.Firstly the paper construct stochastic differential equation of stock price which jump process is Poisson process and the height of jump abide by lognormal distribution. Under the risk-neutral hypothesis, then find equivalent martingale measure and by means of martingale method, we obtain the European reload option pricing formulas on stocks with jump-diffusion process by simply mathematical induce.

关 键 词：跳-扩散过程 对数正态分布 鞅方法 再装期权 

分 类 号：O212.6[理学—概率论与数理统计]