基于跳跃-扩散过程的一类亚式期权定价  

Asia option pricing based on jump-diffusion prices process

作　　者：刘宣会[1,2] 徐成贤[3] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]西安工程大学理学院,陕西西安710048 [3]西安交通大学理学院,陕西西安710049

出　　处：《系统工程学报》2008年第2期142-147,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70271021)

摘　　要：在期权定价理论的研究中,一般都假设标的资产(设为股票)的价格服从几何布朗运动.然而在现实的金融市场上,当有重大信息到来时,便会对股票价格产生冲击,使其价格出现不连续的跳跃.考虑这一因素,在标的资产价格服从跳跃-扩散过程时,分别在完全市场与非完全市场上通过选择帐户折算变换与复制将一种亚式期权(考虑算术平均)定价问题进行简化为一种类似于欧式期权定价问题,然后运用 Merton 对冲风险方法得到原亚式期权的定价与套期保值策略.In option pricing theory, the general assumption is that the price of underlying securities follows the geometric Brownian motion. However, in real finance market, the price of securities is impacted by any important information, as a result, the price varies with discontinuous jump. We take this state into account in our paper. Application of numeraire and replication approach the problems of Asia option pricing are changed into the problems of European option pricing in the complete and incomplete market . The Asia option pricing and hedging is obtained by using the method of Merton hedge risk.

关 键 词：期权法价 完全与非完全市场 亚式期权 对冲风险 欧式期权 

分 类 号：F830.9[经济管理—金融学]