A POISSON-GAUSSIAN MODEL TO PRICE EUROPEAN OPTIONS ON THE EXTREMUM OF SEVERAL RISKY ASSETS WITHIN THE HJM FRAMEWORK  

作　　者：Guohe DENG Lihong HUANG 

机构地区：[1]School of Mathematics, Guangxi Normal University, Guilin 541004, China. [2]College of Mathematics and Econometrics, Hunan University, Changsha 410082, China

出　　处：《Journal of Systems Science & Complexity》2010年第4期769-783,共15页系统科学与复杂性学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China under Grant No. 40675023;the "985" Project of Hunan University;the Guangxi Natural Science Foundation under Grant No. 0991091

摘　　要：This paper generalizes European call options on the extremum of several risky assets in a Poisson-Gaussian model which allows both the risky assets and stochastic interest rates moving randomly with jump risks. The stochastic interest rate is assumed to follow an extended multi-factor HJM model with jumps. The authors provide explicitly the closed-form solutions of these options through the change of numeralre technique and examine the effects of both jump risks and stochastic interest rate on the option price with numerical experiment. The model can be seen as an extension of Stulz （1982）, Johnson （1987） and Lindset （2006）.

关 键 词：Extremum options jump-diffusion model stochastic interest rate. 

分 类 号：O73[理学—晶体学] F830.91[经济管理—金融学]