双Lévy跳扩散模型下的欧式期权定价  

Pricing of European options in double Levy jump-diffusion models

作　　者：南嘉欣 王利[1] NAN JiaXin;WANG Li(College of Mathematics and Physics,Beijing University of Chemical Technology,Beijing 100029,China)

机构地区：[1]北京化工大学数理学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2021年第6期118-122,共5页Journal of Beijing University of Chemical Technology(Natural Science Edition)

摘　　要：主要讨论在带Lévy跳的Vasicek随机利率模型下,当标的资产的价格也由带Lévy跳的模型给出时,用标的资产和零息债券两种计价单位对相应的欧式期权进行定价。计算中主要用到计价单位转换原理,即将风险中性测度下的计算转换到两种计价单位对应的概率测度下进行,得到了双Lévy跳扩散模型下的欧式期权定价公式。We obtain the princing formula for European options when the interest rate is given by Vasicek model with Levy jumps.The underlying asset is also described by a model with Levy jumps(that is why we call double Levy).The main method we used was to change the pricing numeraires,which can be achieved by changing the measures by Girsanov transformations.

关 键 词：Lévy跳扩散模型 零息债券 计价单位 测度变换 期权定价 

分 类 号：O211.6[理学—概率论与数理统计]