纺织高校基础科学学报2016，Vol.29Issue(3)：360-365,6.DOI:10.13338/j.issn.1006-8341.2016.03.015
双分数跳-扩散过程下交换期权定价模型
The exchange option pricing model under bifractional j ump-diffusion process
摘要
Abstract
Assume that stock price follows the stochastic differential equation which driven by the bifractional Brownian motion and j ump process,the interest rate and volatility rate were constant,the financial mathematical model under bifractional j ump-diffusion process is built by the stochastic analysis theory of the bifractional Brownian motion and j ump process.The ex-change option pricing was discussed by using the actuarial approach,and the exchange option pricing formula is obtained,and the related result of exchange option pricing theory is general-ized.关键词
双分数布朗运动/跳-扩散过程/交换期权/保险精算Key words
bifractional Brownian motion/j ump-diffusion process/exchange option/actuarial approach分类
数理科学引用本文复制引用
陈智香,薛红..双分数跳-扩散过程下交换期权定价模型[J].纺织高校基础科学学报,2016,29(3):360-365,6.基金项目
陕西省教育厅专项科研基金资助项目(14JK1299) （14JK1299）
陕西省自然科学基金资助项目(2016JM1031) （2016JM1031）
