多维跳跃扩散模型下一篮子期权定价  

Pricing Basket Option in Multi-dimensional Jump-diffusion Model

作　　者：蒋英[1,2] 

机构地区：[1]上海电力学院数理系,上海201300 [2]上海交通大学数学系,上海200240

出　　处：《宁夏大学学报（自然科学版）》2013年第4期289-293,共5页Journal of Ningxia University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(71271135)

摘　　要：考虑了由一个零息债券和k个由多维跳跃扩散过程驱动的风险资产组成的金融市场模型.基于该金融市场模型,利用远期利率模型和远期鞅测度方法,同时借鉴Gentle处理近似问题的技巧,获得了欧式一篮子期权的近似定价公式,推广了Black-Scholes模型下的结果.A financial market which consists of a zero-coupon bond and k risk assets governed by the multidimensional jump-diffusion processes is considered.Based on this financial model,a pricing formula of European basket option is obtained by applying the HJM model and the forward martingale measure method and simultaneously using approximation technique proposed by Gentle.The result extends the Black-Scholes option pricing formula.

关 键 词：跳跃扩散模型 一篮子期权 等价鞅测度 

分 类 号：O211.6[理学—概率论与数理统计]