华东师范大学学报(自然科学版) ›› 2011, Vol. 2011 ›› Issue (3): 12-20.

• 应用数学与基础数学 • 上一篇    下一篇

幂式期权在跳扩散模型下的定价

苏小囡, 王文胜   

  1. 华东师范大学 金融与统计学院, 上海 200241
  • 收稿日期:2010-01-01 修回日期:2010-04-01 出版日期:2011-05-25 发布日期:2011-05-25
  • 通讯作者: 苏小囡

Pricing power options in a jump diffusion model

SU Xiao-nan, WANG Wen-sheng   

  1. College of Finance and Statistics, East China Normal University, Shanghai 200241, China
  • Received:2010-01-01 Revised:2010-04-01 Online:2011-05-25 Published:2011-05-25
  • Contact: SU Xiao-nan

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摘要： 假设标的资产价格服从跳扩散过程, 市场利率满足Vasicek模型, 当随机利率与资 产价格相关时, 通过测度变换的方法, 选取不同的概率测度, 给出幂式期权的价格公式并得到几种特殊情况时的结论.

关键词: 跳扩散模型, 幂式期权, 随机利率, 测度变换, 跳扩散模型, 幂式期权, 随机利率, 测度变换

Abstract: Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model, and when the interest is correlated with the asset prices, by the way of change of measure, a closed solution of pricing of power option was given. Moreover, some special situations were considered.

Key words: power options, stochastic interest rate, change of measure, jump diffusion model, power options, stochastic interest rate, change of measure

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