股票价格遵循分数-跳扩散过程的期权定价  

Option pricing on stocks driven by fractional-jump diffusion process

作　　者：张学莲[1] 薛红[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2008年第4期446-450,共5页Basic Sciences Journal of Textile Universities

基　　金：陕西省教育厅自然科学专项基金资助项目(05JK207)

摘　　要：利用公平保费原则和价格过程的实际概率测度推广了Mogens bladt和Hina Hviid Ryd-berg关于欧式期权定价的结果.在假设股票价格遵循带有非时齐Poisson跳跃的分数扩散过程,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,给出了欧式期权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, the results of Mogens bladt and Hviid Rydberg on European option pricing is generalized. Under the assumptions that stocks price process is driven by fractional diffusion process with non-homogeneous Poisson process, and the expected rate μ（t）, volatility a（t） and risk-less rate r（t） are function of time, the pricing formula and put-call parity of European option are obtained.

关 键 词：期权定价 保险精算定价 分数-跳扩散过程 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]