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用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了欧式复合期权的定价公式.结果推广了Gukhal以及Li等关于传统跳-扩散模型下的欧式复合期权的定价公式.
In this paper, the insurance formula is used to formulate the pricing formula of the European composite option under the condition that the underlying asset price follows the fractional jump-diffusion process and the risk interest rate, volatility and expected return rate are non-stochastic functions.Results The generalized Gukhal And Li’s pricing formula for European compound options under the traditional jump-diffusion model.