【摘要】 股票价格在漂移项和扩散项具有时滞,且股票在期权有效期内支付连续红利时,利用鞅表示定理和Girsanov定理得到了期权价格的闭式解.研究表明,股票价格在漂移项和扩散项具有时滞时,股票支付红利时对期权价格有一个调整.更多还原

【Abstract】 Useing martingale representation theorem and Girsanov theorem,an option pricing formula was derived for stock payment of continuous dividends with time-delay in the diffusion term and drift term.Research shows that stock option price can adjust to stock payment of continuous dividends with time-delay in the diffusion term and drift term.更多还原