次分数跳—扩散过程下交换期权的定价  

Option Pricing in Sub-fractional Jump-diffusion Environment

作　　者：徐峰[1] 周圣武 XU Feng;ZHOU Sheng-wu(Business School,Suzhou Vocational University,Suzhou 215104,China;School of Mathematics,China University of Mining and Technology,Xuzhou 221008,China)

机构地区：[1]苏州市职业大学商学院,江苏苏州215104 [2]中国矿业大学数学学院,江苏徐州221008

出　　处：《数学的实践与认识》2018年第24期299-303,共5页Mathematics in Practice and Theory

基　　金：江苏省高校哲社研究基金指导项目(2016SJD790039);苏州市职业大学预研项目(SVU2018YY01)

摘　　要：考虑次分数跳-扩散过程下交换期权的定价问题.首先,将次分数Ito公式推广到次分数跳-扩散的情形.其次,利用次分数跳-扩散Ito公式,给出了次分数跳-扩散环境下的Black-Scholes偏微分方程.最后,通过求解偏微分方程,得到了次分数跳-扩散过程下交换期权的定价公式.In this paper,the pricing problem of Exchange option is considered.First,the subfractional Ito formula is generalized to the sub-fractional jump-diffusion processes case.Then, the Black-Scholes partial differential equation in the sub-fractional jump-diffusion environment is obtained by Ito formula for sub-fractional jump-diffusion processes.Finally,the pricing formula of Exchange option is obtained.

关 键 词：次分数跳-扩散过程 交换期权 Black-Scholes偏微分方程 

分 类 号：O211.6[理学—概率论与数理统计]