【摘要】 假设股票随机支付红利,且红利的大小与支付红利时刻及股票价格有关,并假设股票价格过程服从跳—扩散模型(其中跳跃过程为Poisson过程)的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式看涨和看跌期权的定价公式,推广了Merton关于期权定价的结果。更多还原

【Abstract】 Assuming that the stock company pays dividend randomly and the dividend is related with the price of the stock in the time that the stock company pays dividend, and the pricing process is jump-diffusion process(the jump process is Poisson process),the article establishes the stock pricing model.And it gives the European call option and the European put option pricing model using insurance actuary pricing.The result of Merton on European option pricing is generalized.更多还原