跳扩散模型下一种创新的重置期权定价  

Pricing an Innovation Reset Option Under Jump Diffusion Model

作　　者：王献东[1] 

机构地区：[1]常州工学院理学院,常州213002

出　　处：《数学理论与应用》2012年第4期89-95,共7页Mathematical Theory and Applications

基　　金：常州工学院校级科研基金项目(YN1030)

摘　　要：首先在风险中性测度下建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格的随机微分方程,利用期权定价的鞅方法推导得到了欧式重置看涨期权的价格以及一种创新的重置看涨期权的定价公式.最后给出了一个数值计算的例子,说明了创新的重置看涨期权价格要大于或等于传统的重置看涨期权和欧式看涨期权价格,并从理论上进行解释.Firstly the paper construct stochastic different equation of stock price which jump process is Poisson process and the height of jump abide by lognormal distribution under risk neutral measure. By means of option pricing martingale method, we obtain the European reset call option and an innovation reset call option pricing formulas. At last, we give an example of numerically calculation to illustrate the pricing of the innovation reset call option is higher than the traditional reset call option and European call option, and explain it in theory.

关 键 词：跳扩散过程 POISSON过程 鞅方法 重置期权 

分 类 号：F224[经济管理—国民经济] F830.91