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Levy过程驱动下的欧式期权定价和套期保值

, PP. 78-84

Keywords: 期权定价,跳扩散过程,Levy过程

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Abstract:

在传统B-S模型中,假定资产的价格服从Brown运动,是一个连续随机过程.然而当一些重大事件发生时,市场价格会发生大的波动,为描述这种现象,需要引入不连续随机过程.研究了标的资产由Levy过程驱动的欧式期权定价,假定无风险利率和波动率都是一般随机过程,通过等价测度变换,在Q测度下,得出不完全市场下的欧式期权定价公式和套期策略.所得结论具有一般性,且证明的方法具有优越性.

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