非对称双指数跳扩散模型下重置期权的定价  

Pricing Reset Options in Asymmetric Double Exponential Jump-diffusion Models

作　　者：杨建奇 YANG Jianqi(Guangxi University of Finance and Economics,Nanning,530003,China;College of Science Hunan University of Science and Technology,Yongzhou,425199,China)

机构地区：[1]广西财经学院,广西南宁200093 [2]湖南科技学院,湖南永州425199

出　　处：《南昌大学学报（理科版）》2018年第4期316-321,共6页Journal of Nanchang University(Natural Science)

基　　金：国家自然科学基金资助项目(71271136);教育部人文社会科学基金资助项目(15YJC630026);湖南省教育厅重点科研基金资助项目(17A080)

摘　　要：在非对称双指数跳扩散模型下运用概率方法导出了重置期权的价格公式。首先引入非对称双指数跳扩散模型并详尽分析了它的特点。其次,在经Girsanov定理进行测度变换的基础上利用Brownian运动和Poisson分布的独立增量性及Markovian性将期权价格转化为一些易于计算的数学期望之和。最后利用全期望公式给出重置期权明确的价格计算公式。In this paper,aprobabilistic method is applied to get the formulas of reset options in asymmetric double exponential jump-diffusion models.Firstly,a asymmetric double exponential jump-diffusion model is introduced and the characteristic of the models is discussed.Secondly,through the change of measure based on Girsanov’s theorem and by the properties of Markovian and independent increments for Brownian motions and Poisson processes,the price can be computed as the sum of some expectations which are relatively to calculate.Furthermore,by total expectation formula,the explicit pricing formula for reset options is provided.

关 键 词：重置期权 跳扩散过程 指数分布 概率方法 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]