基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型

石泽龙; 唐志毅

基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型

引用本文：石泽龙，唐志毅.基于非对称漂移双gamma跳-扩散过程的创新幂型期权定价模型[J].经济数学,2015,(1):31-36

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作者	单位
石泽龙，唐志毅	（西南交通大学希望学院，四川南充 637900）

中文摘要:针对假设股价的对数收益率布朗运动在期权定价时产生的无法解释股价对数收益率的尖峰厚尾和序列相关性的缺陷，采用了Zhang提出的非对称漂移双gamma跳-扩散过程来描述资产（股价）的对数收益率运动形态（该过程是kou提出的双指数跳-扩散过程的推广），并利用Esscher风险中性变换，研究了幂型期权的定价公式.还设计了两种创新的幂型期权，在非对称漂移双gamma跳-扩散过程下给出了相应的定价公式.

中文关键词:非对称漂移双gamma跳-扩散过程创新幂型期权 Esscher变换

The Model of Innovation Power Options Pricing under an Asymmetrically Displaced Double Gamma Jump-diffusion Process

Abstract:Since the famous B-S pricing model was made, Option Pricing's research has been the focus of attention. But the in-depth study found that the stock's logarithmic returns of the B-S pricing model, which follows the standard Brownian motion, can not explain the fat tail and serial correlation characteristics. So, this paper used the Asymmetrically Displaced Double Gamma Jump-Diffusion Process proposed by Zhang to describe the logarithm yield of assets,(the process was put forward by the ms kou double exponential jump diffusion process promotion), and used the risk neutral Esscher transformation to study the pricing formula of power-type options. Two kinds of innovation power options were designed, and the corresponding pricing formula was given based on Asymmetrically Displaced Double Gamma Jump-Diffusion Process.

keywords:Asymmetrically Displaced Double Gamma Jump-Diffusion Process innovation power options Esscher transform

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