陕西师范大学学报（自然科学版）2009，Vol.37Issue(6)：15-18,4.
带跳扩散过程的外汇期权定价
The foreign exchange option pricing of diffusion process with jumps
摘要
Abstract
The foreign exchange option pricing problem of diffusion process with jumps is discussed. When the foreign exchange price follows Poisson diffusion process with jumps, by using stochastic analysis, the equivalent martingale measure and the partial differential method,european foreign exchange option pricing formula and the call-fall formula are obtained.关键词
外汇期权/Poisson跳跃/等价鞅测度Key words
foreign exchange option/ Poisson jump/ equivalent martingale measure分类
数理科学引用本文复制引用
张运良,苗芳,刘新平..带跳扩散过程的外汇期权定价[J].陕西师范大学学报（自然科学版）,2009,37(6):15-18,4.基金项目
国家自然科学基金资助项目(40271037) （40271037）
