郑州轻工业学院学报(自然科学版)
鄭州輕工業學院學報(自然科學版)
정주경공업학원학보(자연과학판)
JOURNAL OF ZHENGZHOU INSTITUTE OF LIGHT INDUSTRY(NATURAL SCIENCE)
2014年
6期
103-108
,共6页
跳-扩散过程%幂期权%连续红利
跳-擴散過程%冪期權%連續紅利
도-확산과정%멱기권%련속홍리
jump-diffusion process%power option%continuous dividend
在假设股票价格服从带非齐次Poisson跳-扩散过程且在连续时间支付红利的情况下,建立了股票价格行为模型,同时应用保险精算法给出一类奇异期权———欧式幂期权———看涨和看跌两种情形的定价公式,以推广Merton关于期权定价的结果。得到的结果优于无红利支付的情况,使该定价公式更接近市场实际情况。
在假設股票價格服從帶非齊次Poisson跳-擴散過程且在連續時間支付紅利的情況下,建立瞭股票價格行為模型,同時應用保險精算法給齣一類奇異期權———歐式冪期權———看漲和看跌兩種情形的定價公式,以推廣Merton關于期權定價的結果。得到的結果優于無紅利支付的情況,使該定價公式更接近市場實際情況。
재가설고표개격복종대비제차Poisson도-확산과정차재련속시간지부홍리적정황하,건립료고표개격행위모형,동시응용보험정산법급출일류기이기권———구식멱기권———간창화간질량충정형적정개공식,이추엄Merton관우기권정개적결과。득도적결과우우무홍리지부적정황,사해정개공식경접근시장실제정황。
Assuming that the stock company pays dividend continuously and the dividend was related with the price of the stock in the time that the stock company pays dividend,and the pricing process was jump-diffu-sion process,the jump process was Poisson process,the stock pricing model was established.And it gave the European call power option and the European put power option pricing model using insurance actuary pri-cing.The result of Merton on European option pricing was generalized.It was superior to no-dividend payment and it was more closed to the actual market situation.