基于分数跳扩散过程的欧式双向期权定价OACSTPCD
Pricing of European bi-direction option based on fractional jumping diffusion process
应用风险中性原理研究基于分数跳扩散过程的欧式双向期权定价,推导出标的资产价格服从分数跳扩散过程的欧式看涨期权、看跌期权及欧式双向期权的定价公式.
The pricing of European bi-direction option when the underlying assets follows fractional j ump diffusion is mainly studied.By using the risk neutral valuation principle,the pricing formula of standard European call option,put option and European bi-direction option are obtained when the underlying stock price is depicted by fractional jump diffusion process.
胡素敏;周圣武
河南城建学院数理系,河南平顶山467036中国矿业大学理学院,江苏徐州221008
数理科学
定价欧式双向期权分数跳扩散过程
pricingbi-direction european optioni fractional jumping diffusion process
《河北科技大学学报》 2012 (3)
基于复杂网络的决策群体多元不确定性偏好集结研究
207-209,227,4
国家自然科学基金资助项目(70701017)河南省科技计划资助项目(112400450212)河南省教育厅自然科学研究资助项目(2011A110002)
评论