跳扩散市场环境下有红利支付的商期权定价  

Pricing of Quotient Options with Dividend Payments in Jump Diffusion Market Environments

作　　者：程鹏翔[1] 李志民[1] 何瑞彬 侯婷婷 CHENG Pengxiang;LI Zhimin;HE Ruibin;HOU Tingting(School of Mathematics,Physics and Finance,Anhui Polytechnic University,Wuhu 241000,China)

机构地区：[1]安徽工程大学数理与金融学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2022年第4期77-83,共7页Journal of Anhui Polytechnic University

基　　金：安徽省高校自然科学研究重大基金资助项目(KJ2019ZD16)。

摘　　要：研究跳扩散市场环境下有红利支付的商期权定价问题,考虑了股票价格用跳扩散过程刻画,随机项分别为几何布朗运动和分数布朗运动的两种情况。在无风险利率、波动率和期望收益率均为常数,且有红利支付的情况下,利用分数伊藤公式和风险中性定价理论给出了商期权的定价公式。This paper focus on the pricing of quotient options with dividend payouts in the jump diffusion market environment.Two cases are considered in which stock prices are characterized by jump diffusion process and the stochastic terms are geometric Brownian motion and fractional Brownian motion respectively.Under the condition that risk-free interest rate,volatility and expected rate of return are constant and dividend is paid,the fractional ITO formula and risk-neutral pricing theory are used to give the pricing formula of commercial option.

关 键 词：跳扩散模型 分数布朗运动 红利 商期权 期权定价 

分 类 号：O211.6[理学—概率论与数理统计]