新型利率模型下标的资产服从跳-扩散过程的期权定价

J4 ›› 2011, Vol. 46 ›› Issue (7): 96-100.

新型利率模型下标的资产服从跳-扩散过程的期权定价

许聪聪¹,刘新平²

1. 石家庄铁路职业技术学院, 河北石家庄 050041; 2. 陕西师范大学数学与信息科学学院, 陕西西安 710062

收稿日期:2010-12-19 出版日期:2011-07-20 发布日期:2011-09-08
基金资助:
国家自然科学基金项目(40271037)

Option pricing under a new interest rate model when the underlying asset obeys jumpdiffusion process

XU Cong-cong¹, LIU Xin-ping²

1. Shijiazhuang Institute of Railway Techology, Shijiazhuang 050041,Hebei, China;
2. College of Mathematics and Information Science, Shaanxi Normal University, Xi’an 710062, Shaanxi, China

Received:2010-12-19 Online:2011-07-20 Published:2011-09-08
Supported by:
许聪聪(1981- ),女,河北邢台人,讲师,硕士研究生,主要从事应用概率统计研究. Email:clever004@126.com

摘要/Abstract

摘要：

在Kim和Kunitomo提出的新型利率模型下,研究了股票价格服从跳-扩散过程的期权定价问题,同时考虑了红利的支付。假设参数都是关于时间的函数,利用鞅方法得到了欧式看涨期权与看跌期权价格的解析表达式,从而进一步推广了B-S模型的结论。

关键词: 随机利率;跳-扩散过程;鞅方法

Abstract:

Based on the new type interest rate model proposed by Kim and Kunitomo, the option price was studied when the stock price obeys the jumpdiffusion process. Considering the payment of stock dividend, the analytical expressions of European call and put option prices were obtained using martingale method by assuming that the parameters are timedependent. This study developed the results of BlackScholes model.

Key words: stochastic interest rate; jumpdiffusion process; martingale method

许聪聪1,刘新平2. 新型利率模型下标的资产服从跳-扩散过程的期权定价[J]. J4, 2011, 46(7): 96-100.

XU Cong-cong1, LIU Xin-ping2. Option pricing under a new interest rate model when the underlying asset obeys jumpdiffusion process[J]. J4, 2011, 46(7): 96-100.

参考文献

多维度评价

Viewed

Full text

Abstract

Cited

Shared

Discussed