新型利率模型下标的资产服从跳-扩散过程的期权定价  

Option pricing under a new interest rate model when the underlying asset obeys the jump-diffusion process

作　　者：许聪聪[1] 刘新平[2] 

机构地区：[1]石家庄铁路职业技术学院,河北石家庄050041 [2]陕西师范大学数学与信息科学学院,陕西西安710062

出　　处：《山东大学学报（理学版）》2011年第7期96-100,共5页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金项目(40271037)

摘　　要：在Kim和Kunitomo提出的新型利率模型下,研究了股票价格服从跳-扩散过程的期权定价问题,同时考虑了红利的支付。假设参数都是关于时间的函数,利用鞅方法得到了欧式看涨期权与看跌期权价格的解析表达式,从而进一步推广了B-S模型的结论。Based on the new type interest rate model proposed by Kim and Kunitomo, the option price was studied when the stock price obeys the jump-diffusion process. Considering the payment of stock dividend, the analytical expressions of European call and put option prices were obtained using the Martingale method by assuming that the param- eters are time-dependent. This study developed the results of Black-Scholes model.

关 键 词：随机利率 跳-扩散过程 鞅方法 

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