摘要
笔者推广了双指数跳扩散模型,建立了广义双指数跳扩散模型,结合随机利率满足Vasicek随机模型,在市场无套利等条件下,应用傅里叶逆变换、测度变换等方法给出了随机利率下的广义双指数跳扩散模型的欧式期权定价公式.
In the paper,author built Vasicek random model of interest rate and double exponential jump diffusion model of stock price.With the methods such as applying Fourier on the contrary alternation measure alternation,European options pricing formula was given as there was no arbitrage in the marketplace.
出处
《九江学院学报（自然科学版）》
CAS
2012年第3期50-52,55,共4页
Journal of Jiujiang University：Natural Science Edition
基金
西安市科技计划项目(编号CXY1134WL08)成果论文
