| 基于双指数跳-扩散过程的回望期权的解析定价 |
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| 引用本文： | 陈盛双,杨云霞.基于双指数跳-扩散过程的回望期权的解析定价[J].武汉理工大学学报,2006,28(12):137-140. |
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| 作者姓名： | 陈盛双 杨云霞 |
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| 作者单位： | 武汉理工大学理学院,武汉,430070 |
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| 摘 要： | 在风险中性下，回望期权的值在恰当的边际条件和终值条件下满足广义Black-Scholes方程，提出一种在跳扩散模型下回望期权定价的新方法，该方法在于为回望期权所满足的偏积分微分方程（PIDE）指定恰当的边际争件和终值备件，利用拉普拉斯变换求解该方程，最终得到浮动／固定执行价的回望看涨和看跌期权的解析定价公式。
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| 关 键 词： | 跳-扩散过程 双指数跳 期权定价 回望期权 拉普拉斯变换 |
| 文章编号： | 1671-4431(2006)12-0137-04 |
| 修稿时间： | 2006年8月22日 |
Analytical Pricing of Lookback Options in a Double-exponential Jump-diffusion Model |
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| CHEN Sheng-shuang,YANG Yun-xia.Analytical Pricing of Lookback Options in a Double-exponential Jump-diffusion Model[J].Journal of Wuhan University of Technology,2006,28(12):137-140. |
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| Authors: | CHEN Sheng-shuang YANG Yun-xia |
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| Abstract: | Assuming risk-neutrality,the value of a lookback option satisfied the generalized black-scholes equation with the appropriate boundary and final condition.A new approach for pricing of lookback options in a jump-diffusion models was proposed,the approach consisted in specifying proper boundary conditions for partial integro-differential equation(PIDE)satisfied by the value of a lookback option and studying this equation in Laplace domain.As a result,a general framework was developed for pricing floating/fixed strike lookback calls and puts. |
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| Keywords: | jump-diffusion processes exponential jump option pricing lookback options Laplace transform |
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