Provided that stock price process is a jump-diffusion process, the rate of return and the volatility are functions of time, the pricing formula of exponential European jump option can be obtained with the principle of equivalent martingale measure.
英
美
- 摘要假定股票價(jià)格過(guò)程服從跳躍－擴散過(guò)程，且無(wú)風(fēng)險利率，股票收益率、波動(dòng)率均為時(shí)間函數，利用等價(jià)鞅測度方法得出了支付函數為冪型的歐式期權定價(jià)公式。
