跳跃-扩散模型下的期权定价  

Option Pricing Under Condition of Leap-Diffusion Model

作　　者：张瑜[1] 童艳春[2] 

机构地区：[1]长治学院法律与经济学系,山西长治046011 [2]周口师范学院数学与统计学院,河南周口466001

出　　处：《洛阳理工学院学报（社会科学版）》2016年第3期26-29,共4页Journal of Luoyang Institute of Science and Technology：Social Science Edition

基　　金：长治学院科研课题"股价与宏观经济关系的分析"(编号:201405)的阶段性成果;河南省科技厅科技攻关资助项目(编号:162102310604)

摘　　要：假设金融市场只有两种资产:一种是无风险资产,另一种是风险资产。在股票价格服从一般的跳跃-扩散过程且利率为常数时期权定价的基础上,研究股票价格服从非齐次Poisson跳跃-扩散模型且利率为时间的连续函数条件下的期权定价理论。运用随机微分方程方法,结合股票价格在有效期内无红利支付时满足的定价公式,找出其期权定价的解。With the supposition that the financial market only has two assets,the risk-free asset and the risk asset and on the basis of option pricing based on the stock price following the general leap-diffusion process and the constant rate,this paper researches into the stock pricing under the condition of obeying the non-homogeneous Poisson leap-diffusion process while the rate being continuous function of time. And by applying the stochastic differential equation method and combining the stock price without dividend payment in effective period to meet pricing formula,the paper tries to find out option pricing solution.

关 键 词：随机微分方程 Poisson跳跃-扩散模型 期权定价 

分 类 号：F224.0[经济管理—国民经济]