跳擴散過程的期權定價.pdf

1、河北工業(yè)大學碩士學位論文跳擴散過程的期權定價姓名：趙斐申請學位級別：碩士專業(yè)：應用數(shù)學指導教師：陳超20091201aLdTHEPRICINGOFOPTIONWITHJUMPDIFFUSIONAbstractMdenfinancetheyisconsummatingmaturingwiththecontinuouslydevelopmentoffinancemarket.Allstsoffinancialderivativesareap

2、pearing.Especiallyftheoptionithasthefunctionsinventureevading!valuedetectionventurecapitaletc.Ithasthepropertiesofdiversityaswell.Therefeitmakecapitalmarketsdynamic.Withthecontinuouslydevelopmentofoptionmarkettheresearch

3、onoptionpricinghaveengageddomesticfeignscholars’attentionhaveachievedfruitfulresults.Thisdissertationisintenedtostudyoptionpricingproblemssoastoestablishthemathematicmoduleofoptionpricingwithjumpdiffusionprocessbymeansof

4、mathematiealtoolssuchasmartingaletheystochasticanalysistodeducetheoptionpricingequation.Inthisdissertationithasmademainconclusionsasfollows:￡1Itisassumedthatthejumpprocessinpricingoftheunderlyingassetsstockisakindofrenew

5、alprocess.Basedonthemartingaletheytheexchangeoptionpricingequationisdeducedbymeansofthemartingalepricingmethod.￡2Itisassumedthatthejumpprocessinpricingoftheunderlyingassetsstockisakindofrenewalprocess.Theproblemthatresea

6、rchthepricingofAsianoptionwithfloatingstrikepriceischangedintoadifferentialequationwithoutpathdependencybySelffinancingtransactionreplication.￡3ItisassumedthatstockpricesobeyexponentialGeneralizedhyperbolic?levyprocess.T