| 两类跳扩散模型的双币种期权定价 |
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| 引用本文： | 何家文,韦铸娥. 两类跳扩散模型的双币种期权定价[J]. 凯里学院学报, 2012, 30(3): 9-12 |
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| 作者姓名： | 何家文 韦铸娥 |
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| 作者单位： | 北京航空航天大学北海学院,广西北海,536000 |
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| 基金项目： | 新世纪广西科学基金资助项目 |
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| 摘 要： | 在股价和汇率都服从跳扩散模型下考虑了双币种期权定价.利用测度变换,Fourier反变换得到一般跳扩散模型的欧式看跌期权定价显示解.给出正态和双指数分布情形时跳扩散模型的双币种期权定价.通过实例计算,对正态和和双指数2类跳扩散模型的相应结果进行比较.
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| 关 键 词： | 双币种期权 跳扩散模型 等价鞅测度 Fourier反变换 |
Pricing Quanto Option and its Applications under Two Types of Jump-Difussion Models |
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| HE Jia-wen , WEI Zhu-e. Pricing Quanto Option and its Applications under Two Types of Jump-Difussion Models[J]. Journal of Southeast Guizhou National Teachers College, 2012, 30(3): 9-12 |
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| Authors: | HE Jia-wen WEI Zhu-e |
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| Affiliation: | (Beihai College of Beihang University,Beihai,Guangxi,536000,China) |
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| Abstract: | In this paper,we considered the pricing of quanto options under the jump-diffusion model in which stock price and exchang follow both the normal distribution and the double exponential distribution,respectively.The pricing formulas for quanto options are derived under the jump-diffusion model by applying Fourier transform and equivalent martingale measure.And the closed-form pricing formulas for quanto options in the two classes of the normal jump-diffusion model and the double exponential jump-diffusion model are also obtained.Finally,theseresults in the normal distribution are compared with those in the double exponential distribution through numerical examples. |
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| Keywords: | quanto options jump-diffusion model equivalent martingale measure fourier transform |
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