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跳分形过程下延展期权定价

彭斌 彭菲

彭斌, 彭菲. 跳分形过程下延展期权定价[J]. 华东师范大学学报(自然科学版), 2012, (3): 30-40.
引用本文: 彭斌, 彭菲. 跳分形过程下延展期权定价[J]. 华东师范大学学报(自然科学版), 2012, (3): 30-40.
PENG Bin, PENG Fei. Pricing extendible option under jump-fraction process[J]. Journal of East China Normal University (Natural Sciences), 2012, (3): 30-40.
Citation: PENG Bin, PENG Fei. Pricing extendible option under jump-fraction process[J]. Journal of East China Normal University (Natural Sciences), 2012, (3): 30-40.

跳分形过程下延展期权定价

详细信息
  • 中图分类号: O213

Pricing extendible option under jump-fraction process

  • 摘要: 当标的资产遵循跳分形过程时, 构建了延展期权的评估框架. 首先, 在风险中性环境里, 对标的资产发生跳跃次数的收益求条件期望现值, 导出了延展一期的看涨期权解析定价公式, 并探讨了公式的一些特殊情形. 然后, 将定价公式延展到\,$M$\,期, 该延展期权价值在\,$M$\,趋于无穷极限状态时, 将收敛于永久延展期权. 提出了一种简单有效的两点外推法求极限. 最后, 提供数值结果, 阐述了定价表达式的简单实用.
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出版历程
  • 收稿日期:  2010-12-01
  • 修回日期:  2011-03-01
  • 刊出日期:  2012-05-25

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