跳扩散模型中远期生效看涨期权的定价（英）

华东师范大学学报(自然科学版) ›› 2009, Vol. 2009 ›› Issue (5): 107-117.

跳扩散模型中远期生效看涨期权的定价（英）

王伟,王文胜,王帅

华东师范大学金融与统计学院, 上海200241

收稿日期:2008-12-09 修回日期:2009-03-02 出版日期:2009-09-25 发布日期:2014-10-13
通讯作者: 王文胜

Pricing forward starting call option in a jump diffusion model

WANG Wei, WANG Wen-sheng, WANG Shuai

School of Finance and Statistics, East China NormalUniversity, Shanghai} 200241, China

Received:2008-12-09 Revised:2009-03-02 Online:2009-09-25 Published:2014-10-13
Contact: WANG Wen-sheng

摘要/Abstract

摘要： 通过测度变换的方法给出了双指数跳扩散模型中远期生效看涨期权的价格公式. 此外, 还考虑了当股票跳的大小的对数满足一般分布时远期生效看涨期权的定价问题. 所得结果可推广到随机利率和随机波动的情况.

关键词: 跳扩散模型, 测度变换, Girsanov 定理, 跳扩散模型, 测度变换, Girsanov 定理

Abstract: By the way of change of measure, a closed solution of pricing formula of
European forward starting call option was given in a double exponential jump diffusion
model. Moreover, a problem of pricing forward call option when the log jump
size has a general distribution was also considered.

Key words: change of measure, Girsanov’s theorem, jump diffusion model, change of measure, Girsanov’s theorem

中图分类号:

王伟;王文胜;王帅. 跳扩散模型中远期生效看涨期权的定价（英）[J]. 华东师范大学学报(自然科学版), 2009, 2009(5): 107-117.

WANG Wei;WANG Wen-sheng;WANG Shuai. Pricing forward starting call option in a jump diffusion model[J]. Journal of East China Normal University(Natural Sc, 2009, 2009(5): 107-117.