连续支付红利的跳—扩散模型交换期权定价  

Exchange Option Pricing of the Continuous Dividend Payment Model with Jump-diffusion

作　　者：刘东艳[1] 张军芳[2] 

机构地区：[1]河北医科大学基础医学院,石家庄050017 [2]衡水学院,衡水053000

出　　处：《数学理论与应用》2013年第2期75-80,共6页Mathematical Theory and Applications

摘　　要：在假设股票连续支付红利,且股票价格过程服从Poisson跳—扩散过程的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式交换期权的定价公式,推广了Merton关于期权定价的结果.Suppose that the stock company pays dividend continuously and the price process of the stock follows a jump - diffusion process, this paper establishes the stock pricing model, and gives the pricing formula for the Europe-an exchange option by using insurance actuary pricing method. The result here can be regarded as an extension of the Merton＇ s result on the European option pricing.

关 键 词：跳-扩散过程 交换期权 红利 

分 类 号：F830.9[经济管理—金融学] F224