[1]杨 芮,张艳慧*,温 伟.基于双指数跳跃-扩散过程的欧式一篮子期权定价[J].江西师范大学学报(自然科学版),2022,(01):12-17.[doi:10.16357/j.cnki.issn1000-5862.2022.01.03]
　YANG Rui,ZHANG Yanhui*,WEN Wei.The European Style Basket of Option Based on Double Exponential Jump-Diffusion Process[J].Journal of Jiangxi Normal University:Natural Science Edition,2022,(01):12-17.[doi:10.16357/j.cnki.issn1000-5862.2022.01.03]
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基于双指数跳跃-扩散过程的欧式一篮子期权定价()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2022年01期
页码:
12-17
栏目:
数学与应用数学
出版日期:
2022-01-25

文章信息/Info

Title:
The European Style Basket of Option Based on Double Exponential Jump-Diffusion Process
文章编号:
1000-5862(2022)01-0012-06
作者:
杨 芮1; 张艳慧1*; 温 伟2
1.北京工商大学数学与统计学院,北京 100048; 2.北京工商大学经济学院,北京 100048
Author(s):
YANG Rui1; ZHANG Yanhui1*; WEN Wei2
1.School of Mathematics and Statistics,Beijing Technology and Business University,Beijing 100048,China; 2.School of Economics,Beijing Technology and Business University,Beijing 100048,China
关键词:
一篮子期权;  双指数跳跃-扩散过程;  鞅定价方法
Keywords:
basket options;  the double-exponential jump-diffusion process;  the martingale property
分类号:
O 211.6; F 224.7
DOI:
10.16357/j.cnki.issn1000-5862.2022.01.03
文献标志码:
A
摘要:
该文建立了具有相关性的多标的资产服从双指数跳跃-扩散过程的价格演化模型,并利用鞅方法和Ito公式得到了在双指数跳跃-扩散过程下的一篮子欧式看涨期权和一篮子欧式看跌期权的定价公式,可用于处理一篮子期权的定价问题.
Abstract:
The price evolution model of correlated multi-subject assets obeying the double exponential jump-diffusion process is established.And the pricing formula of basket of European call options and basket of European put options under the double exponential jump-diffusion process is obtained by using martingale and the Ito formula,which can be used to deal with the pricing of basket options.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2021-05-19
基金项目:国家自然科学基金(11971042)资助项目.
通信作者:张艳慧(1975—),女,河北承德人,教授,博士,主要从事金融统计,函数论的位势理论研究.E-mail:zhangyanhui@th.btbu.edu.cn
更新日期/Last Update: 2022-01-25