摘要
由于期权合约在到期日之前可能被终止及标的资产的价格可能会因重大信息的到达而发生跳跃 ,文中在假设合约被终止的风险与重大信息导致的价格跳跃风险皆为非系统的风险情况下 ,应用无套利资本资产定价及Feynman kac公式 ,首先研究了标的资产服从连续扩散过程和跳—扩散过程具有随机寿命的交换期权定价 ,得到相应的定价公式 ;然后 ,研究了标的资产服从跳—扩散过程及利率随机变化具有随机寿命的期权定价 。
Option contracts are probably stopped before expire dates and important events may cause jump of underlying assets price. The paper assumes that the two kinds of risks,caused by stochastic stopping and the jump of price, are nonsystematic. By means of no arbitrage capital asset pricing and Feynman kac formula, it first studies stochastic lives exchange options pricing with the underlying assets obeying continuous diffusion processes and the underlying assets obeying jump diffusion processes, and obtains corresponding pricing formulas. And then, it studies the stochastic life option pricing with the underlying asset obeying jump diffusion process and interest rate being stochastic, and oblains corresponding pricing formula.
出处
《国防科技大学学报》
EI
CAS
CSCD
北大核心
2002年第5期93-98,共6页
Journal of National University of Defense Technology
基金
国家自然科学基金资助项目 (198710 0 6/A0 10 110 )
