更新跳跃-扩散过程下的复合期权定价
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引用本文:梁红枫,汤灿琴, 任英.更新跳跃-扩散过程下的复合期权定价[J].经济数学,2011,(1):24-27
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作者单位
梁红枫,汤灿琴, 任英 (大连海事大学 数学系辽宁 大连116026) 
中文摘要:假设关于标的股票的重大信息到达服从更新过程,并假设跳跃高度服从对数正态分布,利用期权定价的鞅方法,推导得到了股票价格服从更新跳跃-扩散过程的欧式期权以及复合期权的定价公式.
中文关键词:更新过程  期权定价  复合期权  更新跳-扩散过程
 
Pricing of Compound Option Based on Renewal Jump Diffusion Stochastic Process
Abstract:This paper assumes that the great information coming is a renewal process, while the share price is still a continuous function of time between two pieces of information and the jump height follows lognormal distribution. By means of martingale method, we obtained the European option and compound option pricing formula on stocks with renewal jump diffusion process.
keywords:renewal process  option pricing  compound option  renewal jump diffusion process
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