Lévy跳扩散过程下选择期权的定价  

Pricing Chooser Options Under Lévy Jump-diffusion Processes

作　　者：王心悦[1] 李翠香[1] WANG Xin-yue;LI Cui-xiang(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：《数学的实践与认识》2020年第22期95-102,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11571089);河北省教育厅重点基金(ZD2018065,ZD2019053)。

摘　　要：考虑了当资产价格服从指数Lévy跳扩散过程时选择期权的定价.首先运用均值修正的方法构造了风险中性测度.其次运用风险中性定价原理及测度变换的方法得到了选择期权的定价公式,此定价公式用对数收益的特征函数的积分表示,其形式相较于级数形式较为简单.最后讨论了模型中参数的估计及到期日、执行价格对期权价格的影响.The aim of this paper is to study the pricing of chooser options on the assumption that the underlying asset’s price follows exponential Lévy jump-diffusion processes.We first construct a risk-neutral measure by correcting the mean.Secondly,by using the risk-neutral pricing principle and measure transform,we obtain the pricing formula of chooser options which is expressed into the integral of the characteristic function of the logarithmic return and has simpler form than the series.The estimates of parameters in the model,the effects of expiration date and strike price on the price of options are discussed at the end.

关 键 词：Lévy跳扩散过程 选择期权 风险中性测度 特征函数 测度变换 

分 类 号：O211.67[理学—概率论与数理统计] F830.9[理学—数学]