跳扩散模型中的测度变换与期权定价

Changes of Probability Measure and Options Pricing in Jump-Diffusion Models

  • 摘要: 本文研究在跳扩散模型中概率测度的变换对于期权定价的影响.通过选取不同的记价单位以及相应的概率测度,简化了期权定价中一些复杂的理论,得到了在具有随机利率的跳扩散模型中欧式期权的定价公式以及关于跳扩散模型中交换期权、亚式期权等新型期权的定性、定解性质.

     

    Abstract: This paper studies the relation between changes of probability measure and option pricing in a jump-diffusion model. By choosing different numeraire and corresponding probability measure, we give the formula of European options in a stochastic interest rate framework and get some results about exchange options and Asian options in jump-diffusion models.

     

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