| 基于跳扩散过程的欧式交换期权定价 |
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| 引用本文：黄双双，贺战兵.基于跳扩散过程的欧式交换期权定价[J].经济数学,2011,(1):32-35 |
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| 中文摘要:考虑了股票价格服从带时滞泊松跳的跳扩散模型的欧式交换期权定价问题，运用无套利理论推导出期权价值微分方程，利用变换计价单位的方法，得到交换期权的显示定价公式. |
| 中文关键词:跳扩散过程 交换期权 随机微分方程 |
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| Pricing of European Exchange Options on Jump Diffusion Process Model |
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| Abstract:The problem of pricing european exchange options on a jump diffusion model was considered. This paper assumes that the stock price is driven by jump diffusion process, and the jump process is a homogenous poisson process. The differential equation of option value was derived with no arbitrage theory. By using the method of numeraire conversion, the exact formula for pricing exchange option was obtained. |
| keywords:jump diffusion process , exchange option , stochastic differential equation |
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