基于双指数跳跃-扩散过程的欧式一篮子期权定价  

The European Style Basket of Option Based on Double Exponential Jump-Diffusion Process

作　　者：杨芮 张艳慧[1] 温伟 YANG Rui;ZHANG Yanhui;WEN Wei(School of Mathematics and Statistics,Beijing Technology and Business University,Beijing 100048,China;School of Economics,Beijing Technology and Business University,Beijing 100048,China)

机构地区：[1]北京工商大学数学与统计学院,北京100048 [2]北京工商大学经济学院,北京100048

出　　处：《江西师范大学学报（自然科学版）》2022年第1期12-17,共6页Journal of Jiangxi Normal University(Natural Science Edition)

基　　金：国家自然科学基金(11971042)资助项目.

摘　　要：该文建立了具有相关性的多标的资产服从双指数跳跃-扩散过程的价格演化模型,并利用鞅方法和Ito公式得到了在双指数跳跃-扩散过程下的一篮子欧式看涨期权和一篮子欧式看跌期权的定价公式,可用于处理一篮子期权的定价问题.The price evolution model of correlated multi-subject assets obeying the double exponential jump-diffusion process is established.And the pricing formula of basket of European call options and basket of European put options under the double exponential jump-diffusion process is obtained by using martingale and the Ito formula,which can be used to deal with the pricing of basket options.

关 键 词：一篮子期权 双指数跳跃-扩散过程 鞅定价方法 

分 类 号：O211.6[理学—概率论与数理统计] F224.7[理学—数学]