在线阅读 --自然科学版 2020年6期《具有不确定价格的最值期权定价》
具有不确定价格的最值期权定价--[在线阅读]
孙彩灵, 刘丽霞
河北师范大学 数学科学学院, 河北 石家庄 050024
起止页码: 472--478页
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.003
摘要
研究了随机利率跳扩散环境下具有不确定价格的最值期权定价问题.假设标的资产价格服从跳扩散模型下的多维几何布朗运动,利率服从扩展的Vasicek模型.利用跳扩散模型下的Girsanov定理和测度变换的方法,推导出了具有不确定价格的最值期权的定价公式,从而推广了最值期权的定价模型.

Pricing of the Maximum or Minimum Option with Uncertain Price
SUN Cailing, LIU Lixia
School of Mathematical Sciences, Hebei Normal University, Hebei Shijiazhuang 050024, China
Abstract:
In this paper,we study the pricing of maximum or minimum option with uncertain price under stochastic interest rate and jump diffusion environment.Assuming that the price of underlying assets follows multi-dimensional geometric Brownian motion with jump diffusion model and the interest rate follows the extended Vasicek model,we derive the pricing formula of the maximum or minimum option with uncertain price by using Girsanov's theorem under jump diffusion model and measure transformation.We extend the pricing model of the maximum or minimum option.

收稿日期: 2020-07-01
基金项目: 河北省自然科学基金(A2019205299);河北省教育厅重点基金(ZD2018065)

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