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摘要: 假设标的资产价格服从跳扩散过程, 市场利率满足Vasicek模型, 当随机利率与资 产价格相关时, 通过测度变换的方法, 选取不同的概率测度, 给出幂式期权的价格公式并得到几种特殊情况时的结论.Abstract: Under the assumption that the underlying asset prices obey jump diffusion processes and the market interest satisfies Vasicek model, and when the interest is correlated with the asset prices, by the way of change of measure, a closed solution of pricing of power option was given. Moreover, some special situations were considered.
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