【摘要】 Merton在1976年建立了著名的跳扩散模型,本文利用了随机分析中的鞅方法推广了Merton关于欧式期权定价的结果,讨论了跳扩散模型的一般情形:假定股票价格过程遵循Poisson跳跃的扩散过程,股票预期收益率,波动率和无风险利率均为时间的函数,以及风险资产支付红利,并且有依赖于时间参数的红利率的情况下,获得了欧式期权的定价公式和买权与卖权之间的平价关系。更多还原

【Abstract】 The results of Merton on European option pricing was generalized by using martingale method,and the jump-diffusion model,established by R.C.Merton in 1976,was discussed.If the stocks process is driven by Poisson jump-diffusion,and the rate of expected stock-returns,fluctuating rate and risk-less rate are function of time dependent bonus rate,the pricing formula and put-call parity of European option were given.更多还原