The model of European option pricing for a given stochastic differential equation driven by the Brownian motion and Poisson process is obtained and the solution of the model is given out by using Ito formula and the method of stochastic differential.
英
美
- 針對布朗運動(dòng)和泊松過(guò)程共同驅動(dòng)下股票價(jià)格的隨機微分方程；利用Ito公式和隨機積分的方法；得到了該形式下歐式期權定價(jià)的模型；并給出了模型的求解.
