| 广义双指数跳扩散模型的欧式期权定价 |
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| 引用本文： | 陈欣,闫淑霞. 广义双指数跳扩散模型的欧式期权定价[J]. 西安文理学院学报, 2011, 0(4): 3-5,41 |
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| 作者姓名： | 陈欣 闫淑霞 |
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| 作者单位： | [1]西安文理学院数学系,陕西西安710065 [2]郑州师范学院初等教育部,河南郑州450044 |
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| 基金项目： | 国家自然科学基金资助项目（40271038） |
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| 摘 要： | 推广了Kou等人提出的双指数跳扩散模型,建立了更具解释灵活性的广义双指数跳扩散模型,应用鞅方法,测度变换、线性变换等方法推导出了广义双指数跳扩散模型下的欧式期权定价公式.
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| 关 键 词： | 广义双指数跳扩散 测度变换 期权定价 |
European Type Option Pricing of Double Exponential Jump Diffusion Model under Random Interest Rate |
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| CHEN Xin,YAN Shu-xia. European Type Option Pricing of Double Exponential Jump Diffusion Model under Random Interest Rate[J]. Journal of Xi‘an University of Arts & Science:Natural Science Edition Edi Edition, 2011, 0(4): 3-5,41 |
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| Authors: | CHEN Xin YAN Shu-xia |
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| Affiliation: | 1.Department of Mathematics,Xi＇an University of Arts and Science,Xi＇an 710065,China; 2.Ministry of Elementary Education,Zhengzhou Normal University,Zhengzhou 450044,China) |
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| Abstract: | The paper is to popularize the double exponential jump diffusion model of stock price proposed by Kou.We are trying to establish an extended double exponential jump diffusion model which features a more flexible interpretation.By means of martingale method,measure transformation,and linear transformation,we obtain European type option pricing formula based on extended double exponential jump diffusion model. |
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| Keywords: | double exponential measure alternation options pricing. |
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