随机利率下股价服从多个跳源的跳-扩散模型的连续履约价期权定价  

Pricing of Continuous Strike Options Following Jump-Diffusion Models With Multiple Source Jumps and Random Interest Rates

作　　者：刘罡[1] 

机构地区：[1]新疆大学数学与系统科学学院,乌鲁木齐830046

出　　处：《数学理论与应用》2013年第1期82-88,共7页Mathematical Theory and Applications

摘　　要：假定标的资产服价格的跳过程服从一类特殊的更新跳过程,考虑多个跳源影响,在Vasicek扩展利率模型下,利用鞅方法给出连续履约价期权的定价公式.Assuming that the underlying asset follows a special renewal process, we give a pricing formula for a continuous strike option following a jump - diffusion model with multiple source jumps and Vasicek type interest rates.

关 键 词：更新过程 鞅方法 随机利率 连续履约价期权 

分 类 号：O211.6[理学—概率论与数理统计]