带跳混合高斯模型下的交换期权定价  

Exchange Option Pricing under Mixed Gaussian Model with Jumps

作　　者：涂晓玲 TU Xiao-ling(School of Applied Mathematics,Nanjing University of Finance&Economics,Nanjing Jiangsu 210023,China)

机构地区：[1]南京财经大学应用数学学院,江苏南京210023

出　　处：《淮阴师范学院学报（自然科学版）》2022年第2期121-126,共6页Journal of Huaiyin Teachers College;Natural Science Edition

摘　　要：研究了带跳混合高斯模型下的交换期权定价问题,给出了标的资产在带跳混合高斯模型下交换期权的定价公式.首先,将混合高斯模型下的Ito公式推广到带跳混合高斯模型的情况;其次,利用带跳混合高斯模型下的Ito公式,得到交换期权满足的Black-Scholes偏微分方程;最后,通过求出偏微分方程的解,得到了带跳高斯模型下交换期权的定价公式.We consider the problem of exchange option pricing under mixed gaussian model with jumps and give the pricing processes of the underlying asset under mixed gaussian model with jumps in the paper.At first,we extend Ito formula under mixed gaussian model to the situation of mixed gaussian model with jumps.Then,the Ito formula under mixed gaussian model with jumps is used to get the Black-Scholes partial differential equation of exchange option.In the end,we get the pricing formula of exchange option under mixed gaussian model with jumps by solving the partial differential equation.

关 键 词：混合高斯模型 交换期权 跳-扩散 ITO公式 

分 类 号：O211.6[理学—概率论与数理统计]