| 跳跃扩散过程下欧式期权的模糊定价 |
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| 引用本文： | 余星. 跳跃扩散过程下欧式期权的模糊定价[J]. 娄底师专学报, 2009, 0(2): 4-5 |
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| 作者姓名： | 余星 |
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| 作者单位： | 湖南人文科技学院,湖南娄底417001 |
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| 基金项目： | 湖南人文科技学院校级青年课题（2008QN013）. |
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| 摘 要： | 在现实的金融市场中，当资产的价格服从跳跃扩散过程时，跳跃的强度和高度并不是一个精确的实数。建立资产价格的模糊随机微分方程，得到跳跃扩散过程下欧式期权的模糊定价。
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| 关 键 词： | 跳跃扩散 模糊化 模糊随机微分方程 欧式期权 |
Fuzzy Pricing about European Call Option under the Process of Jump - diffusion |
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| YU Xing. Fuzzy Pricing about European Call Option under the Process of Jump - diffusion[J]. Journal of Loudi Teachers College, 2009, 0(2): 4-5 |
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| Authors: | YU Xing |
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| Affiliation: | YU Xing ( Hunan Institute of Humanities, Science and Technology, Loudi,417001, China) |
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| Abstract: | In the real financial market, the average jump times and jump amplitudes of asset prices cannot always be expected to be precise real numbers. The fuzzy stochastic process of the asset price is built, and the fuzzy pricing of European call option under the process of jump - diffusion is get. |
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| Keywords: | jumpdiffusion fuzzy fuzzy stochastic process European call option |
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