| 引用本文: | 冯广波,陈伟芳.具有随机寿命的二维期权定价.[J].国防科技大学学报,2002,24(5):93-98.[点击复制] |
| FENG Guangbo,CHEN Weifang.Two Dimensional Option Pricing with Stochastic Life[J].Journal of National University of Defense Technology,2002,24(5):93-98[点击复制] |
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| 具有随机寿命的二维期权定价 |
| 冯广波1, 陈伟芳2 |
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(1.中南大学 铁道校区科研所，湖南 长沙 410075;2.国防科技大学 航天与材料工程学院，湖南 长沙 410073)
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| 摘要: |
| 由于期权合约在到期日之前可能被终止及标的资产的价格可能会因重大信息的到达而发生跳跃，文中在假设合约被终止的风险与重大信息导致的价格跳跃风险皆为非系统的风险情况下，应用无套利资本资产定价及Feynman-kac公式，首先研究了标的资产服从连续扩散过程和跳—扩散过程具有随机寿命的交换期权定价，得到相应的定价公式；然后，研究了标的资产服从跳—扩散过程及利率随机变化具有随机寿命的期权定价，得到相应的定价公式。 |
| 关键词: 随机寿命 跳—扩散过程 期权 风险 |
| DOI： |
| 投稿日期：2002-04-12 |
| 基金项目:国家自然科学基金资助项目(19871006/A010110) |
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| Two Dimensional Option Pricing with Stochastic Life |
| FENG Guangbo1, CHEN Weifang2 |
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(1.Research Department, Railway Campus, Central South University, Changsha 410075， China;2.College of Aerospace and Materials Engineering, National Univ. of Defense Technology, Changsha 410073,China)
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| Abstract: |
| Option contracts are probably stopped before expire dates and important events may cause jump of underlying assets price. The paper assumes that the two kinds of risks,caused by stochastic stopping and the jump of price, are nonsystematic. By means of no arbitrage capital asset pricing and Feynman-kac formula, it first studies stochastic lives exchange options pricing with the underlying assets obeying continuous diffusion processes and the underlying assets obeying jump-diffusion processes, and obtains corresponding pricing formulas. And then, it studies the stochastic life option pricing with the underlying asset obeying jump-diffusion process and interest rate being stochastic, and oblains corresponding pricing formula. |
| Keywords: stochastic life jump-diffusion process option risk |
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