摘要
应用风险中性定价原理,研究标的股价服从分数跳扩散过程的混合型双标的两值期权的定价问题,并得出定价公式,并与股价服从标准布朗运动的定价公式做出比较分析.
The pricing of mixed bivariate options when the underlying assets following tractional jump diffusion process are mainly studied. By using the risk neutral valuation principle, the pricing formulae of bivariate binary options are obtained when the underlying stock price is depicted by fractional jumping diffusion process. Then comparative analysis is made with option pricing formulae when the stock prices following standard brown motion.
出处
《数学的实践与认识》
CSCD
北大核心
2014年第14期309-315,共7页
Mathematics in Practice and Theory
基金
河南省科技计划(112300410191)
关键词
分数布朗运动
混合型两值期权
跳扩散过程
frational brown motion
mixed bivariate binary options
jumping diffusion process
