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跳散开模具下的二选期权官价

发布时间: 2018-10-10 04:05  |  来源: 未知  |  作者: admin
Purpose—To set a price on the better and the worst of two call options on the basis of logarithmic rate of return under the jump diffusion model,w here the jump frequency obeys Poisson distribution,the ratio of each jump is a random varia

  Purpose—To set a price on the better and the worst of two call options on the basis of logarithmic rate of return under the jump diffusion model,w here the jump frequency obeys Poisson distribution,the ratio of each jump is a random variable,but it obeys logarithmic normal distribution. Methods—In the risk neutral probability measure,the risk neutral principle and It?lemma are used to achieve aforesaid purpose.Result—Its analytical pricing formula is gotten through the direct calcula-tion.Conclusion—The pricing formula with jumping is more in line with the actual situation.