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一类二元跳扩散模型的欧式期权定价
  • 摘要

    假定股价的相对跳跃高度服从对数二项式分布,建立了一类二元跳扩散模型,应用鞅方法和测度变换得到了欧式股票期权的价格显式解,并应用于期货期权的定价.最后,通过数值计算分析和比较了二元跳扩散模型与Black-Scholes模型的相应结果.

  • 作者

    何荣国  邓国和  HE Rong-guo  DENG Guo-he 

  • 作者单位

    广西师范大学数学科学学院,广西,桂林,541004

  • 刊期

    2008年2期 ISTIC PKU

  • 关键词

    二元跳扩散模型  欧式期权  期货期权 

参考文献
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  • [6] BATES D S. Jumps and stochastic volatility:exchange rate processes implicit in Deutsche mark options. Review of Financial Studies, 1996,01
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