基于跳扩散过程的欧式双向期权定价  

Pricing of Bi-direction European Option with underlying asset following Jumping diffisuion Process

作　　者：胡素敏[1] 张晓果[1] 

机构地区：[1]河南城建学院数理系,河南平顶山467036

出　　处：《河南城建学院学报》2012年第3期61-63,共3页Journal of Henan University of Urban Construction

基　　金：国家自然科学基金资助项目(70701017);河南省科技攻关项目(112400450212);河南省教育厅自然科学研究计划项目(2011A110002)

摘　　要：应用风险中性原理研究基于跳扩散过程的欧式双向期权定价,在假设标的资产价格服从跳扩散过程的基础上,推导出标的资产价格服从跳扩散过程的欧式双向期权的定价公式.The pricing of Bi-direction European Option with underlying assets following jump diffusion were mainly studied. By using the risk neutral valuation principle, the pricing formulae of Bi-direction European Option is obtained when the underlying stock price is depicted by jump diffusion process.

关 键 词：定价 欧式双向期权 跳扩散过程 

分 类 号：O211.6[理学—概率论与数理统计]