【摘要】 运用更一般的G irsanov定理研究了跳-扩散模型下的复合期权的定价问题.通过选取不同的计价单位及概率测度的变换,给出了复合期权的封闭解,从而推广了G ukha l,A g liard i E lettra等人的工作.更多还原

【Abstract】 The writers of this paper make a study of the pricing problem of compound options which the underlying asset submits to the jump-diffusion models by using a more general Girsanov theorem.The closed form solution is deduced by the way of selecting different numeraire and changing of probability measures.Such work done by Gukhal and Agliardi Elettra was extended to a more general condition-jump-diffusion model.更多还原