【摘要】 在标的资产价格遵循跳跃扩散过程条件下,怎样定价重设型卖权是十分重要的.本文的目标就是计算出跳跃扩散重设型卖权的定价公式。按照Merton的思想,利用几何Brown运动描述只有系统风险的资产价格运动,用 Poisson随机过程描述产生非系统风险的偶然的资产价格的跳跃,并且假设跳跃幅度服从正态分布.通过求解 Ito skorohod随机方程,对冲系统风险运用风险中性定价方法,进而用一维与二维的正态分布函数计算各个部分的条件期望,得到无穷级数形式的跳跃扩散重设型卖权的定价公式.更多还原

【Abstract】 When the underlying asset price follows the jump-diffusion process,it’s very important that how to valuate European put option with resetable exercise price.The goal of this paper is to calculate the reset option.Following the thought of Merton,we depict the asset price motion with only systematic risk by geometric Brown motion,and the asset’s occasional jump which generates non-systematic risk by Poisson stochastic process, and suppose that the jump scale follows normal distribution.By soluting Ito-Skorohod stochastic differential equation,and hedging systematic risk and making use of risk-neutral valuation method,furthmore (using) one dimension and two dimension normal distribution functions to calculate all conditional expections,we get the valuation formulas with infinite series’ form.更多还原