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高校应用数学学报
高校应用数学学报  2016, Vol. 31 Issue (1): 21-29    
    
基于外汇汇率买入的跳扩散过程股票的期权定价
李文汉1,2, 刘丽霞1∗, 孙红岩3
1. 河北师范大学 数学与信息科学学院, 河北石家庄 050024
2. 石家庄经济学院 数理学院, 河北石家庄 050031
3. 白求恩医务士官学校, 河北石家庄 050081
The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate
LI Wen-han1,2, LIU Li-xia1?, SUN Hong-yan3
1. College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang 050024, China
2. College of Mathematics and Physics, Shijiazhuang University of Economics, Shijiazhuang 050031, China
3. Department of Basic, Bethune Military Medical College, Shijiazhuang 050081, China
 全文: PDF 
摘要： 在风险中性假设下, 通过建立以外币计价的股票价格服从带跳扩散过程的随机微分方程和外币汇率的随机微分方程, 考虑到影响外汇汇率的因素和影响股票价格因素的相关性, 得到了与之相关联的几种买入的以本币计价的欧式期权定价公式.
关键词： 跳扩散过程;  汇率;  鞅定价方法;  风险中性    
Abstract: Several European options pricing of domestic currency, with the stochastic differential equations of the stock price of foreign currency which is jump-diffusion process and of the foreign exchange, are obtained by martingale pricing method. Under the risk-neutral hypothesis, the factors affecting the foreign exchange rate and the price of the stocks are correlative.
Key words: jump-diffusion process    foreign exchange    martingale pricing method    risk-neutral
收稿日期: 2015-01-08 出版日期: 2018-05-17
CLC:  O211.6  
基金资助: 国家自然科学基金(71201110; 11501164);河北省研究生创新资助项目
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李文汉
刘丽霞
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引用本文:

李文汉, 刘丽霞, 孙红岩. 基于外汇汇率买入的跳扩散过程股票的期权定价[J]. 高校应用数学学报, 2016, 31(1): 21-29.

LI Wen-han, LIU Li-xia, SUN Hong-yan. The call option pricing for the stocks with jump-diffusion process based on foreign exchange rate. Applied Mathematics A Journal of Chinese Universities, 2016, 31(1): 21-29.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2016/V31/I1/21

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