跳扩散过程下选择期权的定价  

Pricing chooser options under jump-diffusion processes

作　　者：王心悦[1] 李翠香[1] 刘淑娟[1] WANG Xin-yue;LI Cui-xiang;LIU Shu-juan(School of Mathematical Sciences,Hebei Normal University,Shijiazhuang 050024,China)

机构地区：[1]河北师范大学数学科学学院,河北石家庄050024

出　　处：《陕西理工大学学报（自然科学版）》2020年第5期82-88,共7页Journal of Shaanxi University of Technology:Natural Science Edition

基　　金：国家自然科学基金资助项目(11501164);河北省教育厅重点基金资助项目(ZD2018065,ZD2019053)。

摘　　要：在标的资产价格服从跳扩散过程且贴现债券价格服从几何布朗运动的假设条件下,考虑了选择期权的定价问题。利用测度变换的方法,得到了用对数收益率的特征函数表示的选择期权价格的半解析表达式。研究结果对跳跃幅度的分布没有限制,并用特征函数的积分表示选择期权的价格,形式比较简单。The paper discusses the issue of price chooser options under the assumption that the underlying asset’s price follows the jump-diffusion process and the discount bond’s price follows the geometric Brownian motion.The semi-analytic expression of price of chooser options expressed by the characteristic function of logarithmic return is obtained by using the method of measure transform.The results shows that there is no limitation on the distribution of jump size and it is the simpler that the price of chooser options is expressed in integral of characteristic function.

关 键 词：跳扩散过程 选择期权 测度变换 特征函数 It■引理 

分 类 号：O211.6[理学—概率论与数理统计]