| 股票价格服从跳-扩散过程的交换期权定价模型 |
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| 引用本文： | 沈明轩,;何成洁.股票价格服从跳-扩散过程的交换期权定价模型[J].安徽机电学院学报,2008(3):13-16. |
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| 作者姓名： | 沈明轩 ;何成洁 |
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| 作者单位： | [1]安徽工程科技学院应用数理系,安徽芜湖241000; [2]合肥工业大学数学系,安徽合肥230009 |
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| 摘 要： | 考虑跳-扩散模型中交换期权的定价问题.假设两种股票的价格过程都服从跳-扩散过程,并且股票跳过程为非时齐Poisson过程,在股票预期收益率和波动率均为时间函数的情况下,利用公平保费原则和价格过程的实际概率测度得到了交换期权的定价公式.
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| 关 键 词： | 跳-扩散过程 交换期权 保险精算 期权定价 |
Exchange option pricing model with stock pricing processes in jump-diffusion process |
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| Affiliation: | SHEN Ming-xuan, HE Cheng-jie( 1. Dept. of Appl. Math＆ Phy. ,Anhui University of Technology and Science, Wuhu 241000, China 2. Dept. of Math. , Hefel University of Technology, Hefei 230009, China) |
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| Abstract: | The problem of pricing exchange options in a jump-diffusion model is considered. The paper assumes the two stock pricing processes are jump-diffusion processes, and the jump processes are non-homogenous Poisson process. Under the condition that the expected rate μ（t） and volatility a（t） are function of time, using physical probabilistic measure of price process and the principle of fair premium,the pricing formula of exchange options is obtained. |
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| Keywords: | jump-diffusion process exchange option insurance actuary option pricing |
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