次分数跳-扩散模型下重置期权的保险精算定价  

Insurance Actuary Pricing of Reset Option Under Sub-fractional Jump Diffusion Model

作　　者：孙明明 SUN Mingming(School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing Jiangsu 210046,China)

机构地区：[1]南京财经大学应用数学学院,江苏南京210046

出　　处：《盐城工学院学报（自然科学版）》2022年第4期29-32,共4页Journal of Yancheng Institute of Technology:Natural Science Edition

摘　　要：假设股票价格满足次分数跳-扩散过程驱动的随机微分方程,利用次分数布朗运动和跳过程随机分析理论,以及保险精算法,得到股票价格遵循次分数跳-扩散过程下重置期权的定价公式,在此基础上推广了一些已有的结论。Assuming that the stock price satisfies the stochastic differential equation driven by sub fractional jump diffusion process,the pricing formula of reset option under the condition that the stock price follows the sub fractional jump diffusion process is obtained by using the sub fractional Brownian motion,the stochastic analysis theory of jump process,and the insurance actuarial method.On this basis,some existing conclusions are generalized.

关 键 词：重置期权 次分数布朗运动 跳-扩散过程 保险精算法 

分 类 号：O211[理学—概率论与数理统计]