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随机利率下股价服从多个跳源的跳-扩散模型的连续履约价期权定价
Pricing of Continuous Strike Options Following Jump-Diffusion Models With Multiple Source Jumps and Random Interest Rates
【摘要】 假定标的资产服价格的跳过程服从一类特殊的更新跳过程,考虑多个跳源影响,在Vasicek扩展利率模型下,利用鞅方法给出连续履约价期权的定价公式.
【Abstract】 Assuming that the underlying asset follows a special renewal process,we give a pricing formula for a continuous strike option following a jump-diffusion model with multiple source jumps and Vasicek type interest rates.
【关键词】 更新过程；
鞅方法；
随机利率；
连续履约价期权；
【Key words】 Renewal Process Martingale Approach Random Interest Rate Continuous Strike Option；
【Key words】 Renewal Process Martingale Approach Random Interest Rate Continuous Strike Option；
- 【文献出处】 数学理论与应用 ,Mathematical Theory and Applications , 编辑部邮箱 ,2013年01期
- 【分类号】O211.6
- 【被引频次】1
- 【下载频次】64