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一类具有随机利率的跳扩散模型的期权定价
The option pricing for a kind of Jump-Diffusion models with stochastic interest rate
【摘要】 假定股票价格的跳过程为比Po isson过程更一般的跳过程一类特殊的更新过程,在风险中性的假设下,推导出了具有随机利率的跳扩散模型的欧式期权定价公式.从而推广了文[3]的结果.
【Abstract】 As a kind of special renewal process,this paper assumes that jump process in stock price is more commen than Poisson process.The European options pricing equation is deduced in a stochastic interestrate for jump-diffusion models under the risk-neutral hypothesis.Hence the results in \ are generalized.
【关键词】 跳扩散过程;
更新过程;
随机利率;
Poisson过程;
期权定价;
【Key words】 jump-diffusion process; renewal process; stochastic interest rate; Poisson process; options pricing;
【Key words】 jump-diffusion process; renewal process; stochastic interest rate; Poisson process; options pricing;
【基金】 国家自然科学基金资助项目(40371004)
- 【文献出处】 纯粹数学与应用数学 ,Pure and Applied Mathematics , 编辑部邮箱 ,2006年01期
- 【分类号】F224.7
- 【被引频次】21
- 【下载频次】455