基于跳扩散过程的欧式双向期权定价
기우도확산과정적구식쌍향기권정개
Pricing of Bi-direction European Option with underlying asset following Jumping diffisuion Process
  • 万方数据
    河南城建学院学报 하남성건학원학보
    JOURNAL OF PINGDINGSHAN INSTITUTE OF TECHNOLOGY
    2012年 3期 61-63 ,共3页

    胡素敏%张晓果

    호소민%장효과

    定价%欧式双向期权%跳扩散过程 定價%歐式雙嚮期權%跳擴散過程
    정개%구식쌍향기권%도확산과정
    pricing%Bi-direction European Option%Jumping diffision process
    应用风险中性原理研究基于跳扩散过程的欧式双向期权定价,在假设标的资产价格服从跳扩散过程的基础上,推导出标的资产价格服从跳扩散过程的欧式双向期权的定价公式.
    응용풍험중성원리연구기우도확산과정적구식쌍향기권정개,재가설표적자산개격복종도확산과정적기출상,추도출표적자산개격복종도확산과정적구식쌍향기권적정개공식.
    The pricing of Bi-direction European Option with underlying assets following jump diffusion were mainly studied. By using the risk neutral valuation principle, the pricing formulae of Bi-direction European Option is obtained when the underlying stock price is depicted by jump diffusion process.
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