| 基于跳跃-扩散过程的亚式期权定价 |
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| 引用本文： | 陈超,赵斐. 基于跳跃-扩散过程的亚式期权定价[J]. 武汉理工大学学报(信息与管理工程版), 2010, 32(1): 129-131. DOI: 10.3963/j.issn.1007-144X.2010.01.034 |
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| 作者姓名： | 陈超 赵斐 |
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| 作者单位： | 1. 浙江万里学院,商学院,浙江,宁波,315100
2. 河北工业大学理学院,天津,300401 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 在标的资产价格跳过程为更新过程的假设下，研究了具有浮动敲定价格的亚式期权，通过自融资交易复制将路径依赖的亚式期权定价问题转化为与路径无关的微分方程的求解问题，拓展了刘宣会的结果。
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| 关 键 词： | 更新过程 鞅测度 对冲风险 亚式期权 跳扩散过程 |
Pricing for Asian Option Based on Jump-diffusion Process |
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| CHEN Chao,ZHAO Fei Assoc.Prof.,School of Business,Zhejiang Wanli University,Ningbo ,China.. Pricing for Asian Option Based on Jump-diffusion Process[J]. Journal of Wuhan University of Technology(Information & Management Engineering), 2010, 32(1): 129-131. DOI: 10.3963/j.issn.1007-144X.2010.01.034 |
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| Authors: | CHEN Chao ZHAO Fei Assoc.Prof. School of Business Zhejiang Wanli University Ningbo China. |
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| Affiliation: | CHEN Chao,ZHAO Fei Assoc.Prof.,School of Business,Zhejiang Wanli University,Ningbo 315100,China. |
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| Abstract: | On the assumption that the jump process in pricing of the underlying assets stock is a kind of renewal process,Asian Option with floating strike price was discussed.The pricing problem of Asian Option was changed into a differential equation without path-dependency by self-financing transaction replication.This deepened the research results of Liu Xuanhui in 2008. |
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| Keywords: | renewal process martingale measure hedge risk Asian Option jump-diffusion process |
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