| 一类特殊跳-扩散模型下亚式期权定价 |
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| 引用本文： | 陈超,张菲菲.一类特殊跳-扩散模型下亚式期权定价[J].福建工程学院学报,2012(2):152-155. |
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| 作者姓名： | 陈超 张菲菲 |
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| 作者单位： | 浙江万里学院商学院;河北工业大学理学院 |
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| 基金项目： | 宁波市软科学计划项目(2010A10043) |
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| 摘 要： | 假定股票价格过程为一类特殊跳-扩散过程,其为比Poisson过程更一般的跳过程。在市场无套利条件下建立随机微分方程,以随机分析和鞅理论为基础,用鞅定价方法给出具有敲定价格的算术平均连续亚式期权的定价公式。
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| 关 键 词： | 一类特殊跳-扩散模型 算术平均连续亚式期权 鞅 |
A special type of jumping-diffusion model under Asian option pricing |
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| Chen Chao,Zhang Feifei.A special type of jumping-diffusion model under Asian option pricing[J].Journal of Fujian University of Technology,2012(2):152-155. |
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| Authors: | Chen Chao Zhang Feifei |
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| Institution: | 1.College of Business,Zhejiang Wanli University,Ningbo 315100,China; 2.School of Science,Heibei University of Technology,Tianjin 300401,China) |
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| Abstract: | Assuming that the stock pricing process is a special class of jumping-diffusion process,which is a more general jump process than Poisson process.Stochastic differential equations were established in the condition of no-arbitrage market.Stochastic analysis and martingale theory were adopted as the calculation basis.Arithmetic average continuous Asian option pricing formulas for a special jumping-diffusion model were derived via methods of martingale pricing. |
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| Keywords: | jumping-diffusion model arithmetic average continuous Asian option martingale |
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