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在線閱讀 --自然科學版 2020年6期《具有不確定價格的最值期權定價》
具有不確定價格的最值期權定價--[在線閱讀]
孫彩靈, 劉麗霞
河北師范大學 數學科學學院, 河北 石家莊 050024
起止頁碼: 472--478頁
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.003
摘要
研究了隨機利率跳擴散環境下具有不確定價格的最值期權定價問題.假設標的資產價格服從跳擴散模型下的多維幾何布朗運動,利率服從擴展的Vasicek模型.利用跳擴散模型下的Girsanov定理和測度變換的方法,推導出了具有不確定價格的最值期權的定價公式,從而推廣了最值期權的定價模型.

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
基金項目: 河北省自然科學基金(A2019205299);河北省教育廳重點基金(ZD2018065)

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