| 跳-扩散环境下障碍期权及重置期权定价 |
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| 引用本文： | 米玲侠,薛红.跳-扩散环境下障碍期权及重置期权定价[J].西北纺织工学院学报,2010(1):118-121. |
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| 作者姓名： | 米玲侠 薛红 |
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| 作者单位： | 西安工程大学理学院,陕西西安710048 |
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| 基金项目： | 基金项目：陕西省教育厅自然科学专项基金资助项目（0（JK464） |
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| 摘 要： | 在股票价格服从带跳几何布朗运动模型假设下，利用跳．扩散环境下欧式未定权益的一般Black—Scholes偏微分方程，讨论了下降敲出障碍期权和下降敲入障碍期权定价问题，获得了相应的定价公式．最后，运用障碍期权和重置期权的关系，给出了重置看涨期权定价公式．
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| 关 键 词： | 障碍期权 重置期权 Black—Scholes偏微分方程 |
Option pricing of barrier option and reset option in a fractional jump-diffusion environment |
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| MI Ling-xia,XUE Hong.Option pricing of barrier option and reset option in a fractional jump-diffusion environment[J].Journal of Northwest Institute of Textile Science and Technology,2010(1):118-121. |
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| Authors: | MI Ling-xia XUE Hong |
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| Affiliation: | ( School of Science,Xi＇an Polytechnic University,Xi＇an 710048 ,China) |
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| Abstract: | Under the hypothesis of stock price satisfies with Geometic Brownian motion with jump, the pricing formula for down-and-out barrier option option and down-and-in barrier are obtained by B-S partial differential equation. At the same time the pricing formula of reset call option is given. |
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| Keywords: | barrier option reset option Black-Scholes partial differential equation |
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