跳跃扩散模型下一篮子期货期权定价

华东师范大学学报(自然科学版) ›› 2010, Vol. 2010 ›› Issue (6): 169-177.

跳跃扩散模型下一篮子期货期权定价

蒋英¹, 林建忠²

1. 上海电力学院数理系, 上海 201300; 2. 上海交通大学数学系, 上海 200240

收稿日期:2010-03-01 修回日期:2010-06-01 出版日期:2010-11-25 发布日期:2010-11-25
通讯作者: 林建忠

Pricing basket future options in jump-diffusion models

JIANG Ying¹, LIN Jian-zhong²

1. Department of Mathematics and Physics, Shanghai University of Electric Power, Shanghai 201300, China 2. Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, China

Received:2010-03-01 Revised:2010-06-01 Online:2010-11-25 Published:2010-11-25
Contact: LIN Jian-zhong

摘要/Abstract

摘要： 在多维跳跃扩散期货市场模型下, 应用远期鞅测度方法获得了欧式一篮子期货期权的Black-Scholes定价公式.

关键词: 跳跃扩散模型, 一篮子期货期权, 等价鞅测度, 跳跃扩散模型, 一篮子期货期权, 等价鞅测度

Abstract: A model of future market in which the prices of k futures are governed by a m-dimensional Brownian motion and a l-dimensional Poisson process is considered. Applying the forward martingale measure method, the Black-Scholes pricing formula for an European basket future option is obtained.

Key words: basket future option, equivalent martingale measure, jump-diffusion model, basket future option, equivalent martingale measure

中图分类号:

O211.6

蒋英;林建忠. 跳跃扩散模型下一篮子期货期权定价[J]. 华东师范大学学报(自然科学版), 2010, 2010(6): 169-177.

JIANG Ying;LIN Jian-zhong. Pricing basket future options in jump-diffusion models[J]. Journal of East China Normal University(Natural Sc, 2010, 2010(6): 169-177.