lévy模型下亚式期权的等价关系
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Keywords: 亚式期权,l？vy过程,随机测度,等价关系
Abstract:
证明了泊松随机测度在指数鞅测度变换下仍是泊松随机测度,并利用该结论及勾舍诺夫定理证明了当风险资产价格st满足方程dst=st-[μdt+σdbt+∫r0k(x)？(dt,dx)]时浮动执行价与固定执行价的亚式期权之间的等价关系.
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