跳—扩散模型下的广义交换期权定价  

Pricing General Exchange Options under Jump-Diffusion Model

作　　者：李美蓉[1] 

机构地区：[1]合肥师范学院数学系,安徽合肥230061

出　　处：《合肥师范学院学报》2011年第6期12-14,共3页Journal of Hefei Normal University

基　　金：安徽省高等学校省级优秀青年人才基金资助项目:2010SQRL151

摘　　要：期权及其定价理论是目前金融管理,金融工程研究的前沿问题之一。本文在风险中性的假设下,建立了跳过程为一类特殊的更新过程时的股票价格模型,利用鞅方法得到了此模型下的欧式广义交换期权的定价,最后列出了此模型一些特例和推广,以及套期保值策略和交换期权在投资基金业绩报酬价值中的应用。Options and the pricing theory of options are the frontiers problem in today＇s financial manage- ment and financial engineering research. Under the risk-neutral hypothesis , we construct the model of stock price which jump process is a kind of special renewal process and obtain European general exchange option pricing formula under this model by means of martingale method. At last, this paper list some special cases of this model and generalize the pricing model and hedging strategy and the applying on perfoumance incentive fee of investment funds.

关 键 词：更新过程 鞅方法 交换期权 

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