华东师范大学学报（自然科学版）Issue(5)：107-117,11.
跳扩散模型中远期生效看涨期权的定价
Pricing forward starting call option in a jump diffusion model
摘要
Abstract
By the way of change of measure,a closed solution of pricing formula of Euro-pean forward starting call option Was given in a double exponential jump diffusion model.Moreover,a problem of pricing forward call option when the log jump size has a general distribution Was also considered.关键词
跳扩散模型/测度变换/Girsanov定理Key words
jump diffusion model/change of measure/Girsanov's theorem分类
管理科学引用本文复制引用
王伟,王文胜,王帅..跳扩散模型中远期生效看涨期权的定价[J].华东师范大学学报（自然科学版）,2009,(5):107-117,11.基金项目
国家自然科学基金(10771070) （10771070）
教育部高等学校博士学科总基金(20060269016) （20060269016）
