华东师范大学学报（自然科学版）Issue(3)：12-20,53,10.DOI:10.3969/j.issn.1000-5641.2011.03.002
幂式期权在跳扩散模型下的定价
Pricing power options in a jump diffusion model
摘要
Abstract
Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model, and when the interest is correlated with the asset prices, by the way of change of measure, a closed solution of pricing of power option was given. Moreover, some special situations were considered.关键词
跳扩散模型/幂式期权/随机利率/测度变换Key words
jump diffusion model/ power options/ stochastic interest rate/ change of measure分类
管理科学引用本文复制引用
苏小囡,王文胜..幂式期权在跳扩散模型下的定价[J].华东师范大学学报（自然科学版）,2011,(3):12-20,53,10.基金项目
国家自然科学基金资助项目(11071076) （11071076）
宁波大学学校人才工程项目. （）
