【摘要】 本文假定股票价格过程服从分数跳-扩散运动,且期望收益率和波动率均为常数,在市场无套利的情形下,利用拟鞅定价的方法,得到了欧式复杂任选期权的解析定价公式.更多还原

【Abstract】 Assuming the stock price process follows a fractional jump-diffusion motion,with the expected rate and volatility are constant,under the condition of fractional market is no arbitrage,using the method of quasi-martingale pricing,the analytic pricing formula of European complex chooser option is given in this paper.更多还原