跳跃扩散模型下一篮子期货期权定价  

Pricing basket future options in jump-diffusion models

作　　者：蒋英[1] 林建忠[2] 

机构地区：[1]上海电力学院数理系,上海201300 [2]上海交通大学数学系,上海200240

出　　处：《华东师范大学学报（自然科学版）》2010年第6期169-177,共9页Journal of East China Normal University(Natural Science)

基　　金：国家973基础研究重大项目(2007CB814903)

摘　　要：在多维跳跃扩散期货市场模型下,应用远期鞅测度方法获得了欧式一篮子期货期权的Black-Scholes定价公式.A model of future market in which the prices of k futures are governed by a m-dimensional Brownian motion and a l-dimensional Poisson process is considered. Applying the forward martingale measure method,the Black-Scholes pricing formula for an European basket future option is obtained.

关 键 词：跳跃扩散模型 一篮子期货期权 等价鞅测度 

分 类 号：O211.6[理学—概率论与数理统计]