[1]黄伯强,杨纪龙,马树建.Levy过程驱动下的欧式期权定价和套期保值[J].南京师范大学学报(工程技术版),2007,07(01):078-84.
 Huang Boqiang,Yang Jilong,Ma Shujian.European Option Pricing and Hedging Driven by the Levy Process[J].Journal of Nanjing Normal University(Engineering and Technology),2007,07(01):078-84.
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Levy过程驱动下的欧式期权定价和套期保值
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南京师范大学学报(工程技术版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
07卷
期数:
2007年01期
页码:
078-84
栏目:
出版日期:
2007-03-30

文章信息/Info

Title:
European Option Pricing and Hedging Driven by the Levy Process
作者:
黄伯强1 2 杨纪龙1 马树建1
1. 南京师范大学数学与计算机科学学院, 江苏南京210097; 2. 南京师范大学中北学院, 江苏南京210097
Author(s):
Huang BoqiangYang JilongMa Shujian
1.School of Mathematics and Computer Science,Nanjing Normal University,Nanjing 210097,China;2.College of Zhong Bei,Nanjing Normal University,Nanjing 210097,China
关键词:
期权定价 跳扩散过程 Levy过程
Keywords:
option pric ing jum p-d iffusion process Levy process
分类号:
F224;F830
摘要:
在传统B-S模型中,假定资产的价格服从Brown运动,是一个连续随机过程.然而当一些重大事件发生时,市场价格会发生大的波动,为描述这种现象,需要引入不连续随机过程.研究了标的资产由Levy过程驱动的欧式期权定价,假定无风险利率和波动率都是一般随机过程,通过等价测度变换,在Q测度下,得出不完全市场下的欧式期权定价公式和套期策略.所得结论具有一般性,且证明的方法具有优越性.
Abstract:
In financ ia lm athem atics, European-style option pr ic ing and hedg ing in a jump-diffusion m ode l a re often concerned. In the trad itiona l B lack-Scho les models, the stock price is dr iven by the Brown m o tion. It is a continuous random process. H ow ever, som e im po rtant events can lead to brusque var ia tions in pr ice. To m ode l th is kind of phenom ena, this paper introduces a d iscontinuous stochastic pro cessw he re theEuropean- sty le stock pr ice is dr iven by the Levy process. The r isk free rate and volatility are stochastic processes. By change o f probability m easure, under the probabilityQ, this paper obta ins a pric ing formu la and hedg ing o f European- sty le option in incom pletem arketm odels. The results of paper is genera,l and them ethod o f the paper is better.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介: 黄伯强( 1981-) , 助教, 主要从事金融数学方面的教学与研究. E-ma il:boq ianghuang@ 126. com
通讯联系人: 杨纪龙( 1947-) , 副教授, 主要从事金融教学和概率统计方面的教学与研究. E-m ail:yang jilong@ n jnu. edu. cn
更新日期/Last Update: 2013-04-29