跳扩散模型下双币种复合期权定价  

Pricing Quanto Compound Options under Jump-Difussion Model

作　　者：韦铸娥[1] 

机构地区：[1]北京航空航天大学北海学院,广西北海536000

出　　处：《凯里学院学报》2013年第3期23-25,共3页Journal of Kaili University

摘　　要：在一般跳扩散模型下考虑双币种复合期权定价,应用测度变换、Fourier反变换等方法得到双币种看跌期权的看跌复合期权定价公式.In this paper, we consider the pricing of quanto compound options under the jump - diffusion model, The pricing formula for put option on a put option of compound quanto op- tions is derived by applying Fourier transform and equivalent martingale measure.

关 键 词：双币种复合期权 跳扩散模型 Fourier反变换 等价鞅测度 

分 类 号：O242.1[理学—计算数学] F830.91[理学—数学]