摘要
市场中重大信息的到达会引起股票价格的跳跃.假设关于标的股票的重大信息到达服从更新过程,利用套期保值和无套利的思想,研究了欧式期权的定价.给出了更新跳跃情况下股票的价格公式和欧式期权应满足的偏微分方程,用Feynman-Kac公式求得欧式买权的价格,并用计算结果进行了验证.
The arrival of important information may cause the stock price to jump. Supposing that the information coming is a renewal process, this paper studies the pricing of stock option using the hedge and APT theory, deduces the partial differential equation that the stock option obeys when the underlying stock price obeys renewal jump-diffusion process, obtains the pricing formula by Feynman-Kac Formula, then validate the result with a example.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第23期5-11,共7页
Mathematics in Practice and Theory
基金
上海市教委高水平特色项目--金融信用知识创新体系建设(SHJW2008006)
国家自然科学基金项目(70701023)
