| 指数Levy跳扩散模型下一类新型期权的定价研究 |
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| 引用本文：赵 家 家.指数Levy跳扩散模型下一类新型期权的定价研究[J].经济数学,2019,(3):27-33 |
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| 中文摘要:在指数levy跳扩散模型下,通过在确定的两个时间点之间设置一个特定的常数障碍水平,构造出一类两时间点两资产最大或最小值障碍期权.这种新型期权具有两时间点彩虹期权与障碍期权的双重性质,使得该新型期权在未定权益定价方面的应用更为广泛.最后利用鞅方法,给出了该类期权的定价公式. |
| 中文关键词:金融数学 新型期权 鞅方法 levy |
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| Study on the Pricing of a New Type of Option under Exponential Levy Jump Diffusion Model |
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| Abstract:Under the exponential levy jump diffusion model, this paper constructs a class of barrier options on the maximum or minimum of two assets with two time points by setting a specific constant barrier level between two fixed time points.The new options have the dual properties of the two assets rainbow options and barrier options,which makes them more widely used in the pricing of contingent claims.Finally, we give their pricing formulas by martingale method. |
| keywords:Financial mathematics New options Martingale method Levy |
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