摘要
本文建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格过程的随机微分方程,在风险中性的假设下找到等价鞅测度,利用鞅方法,用较简单的数学推导得到了股票价格服从跳-扩散过程的欧式再装期权定价公式.
Firstly the paper construct stochastic differential equation of stock price which jump process is Poisson process and the height of jump abide by lognormal distribution. Under the risk-neutral hypothesis, then find equivalent martingale measure and by means of martingale method, we obtain the European reload option pricing formulas on stocks with jump-diffusion process by simply mathematical induce.
出处
《经济数学》
2007年第3期276-282,共7页
Journal of Quantitative Economics
关键词
跳-扩散过程
对数正态分布
鞅方法
再装期权
Jump-diffusion process, lognormal distribution, martingale method, reload option.
