价格波动源模型下欧式上入局期权的鞅定价

journal6 ›› 2006, Vol. 27 ›› Issue (3): 23-26.

价格波动源模型下欧式上入局期权的鞅定价

（1.湖南财经高等专科学校，湖南长沙 410081；2.湖南师范大学数学与计算机科学学院，湖南长沙 410081）

出版日期:2006-05-25 发布日期:2012-09-11
作者简介:朱丹(1973-),女,湖南省衡阳市人，湖南财经高等专科学校讲师，硕士研究生,主要从事数理金融研究．

Martingale Pricing of the European Up-and-In Calls Under the Models of Stock Price Fluctuation

(1.Hunan Financial and Economic College,Changsha 410081，China;2.College of Mathematics and Computer Science,Hunan Normal University,Changsha 410081,China)

Online:2006-05-25 Published:2012-09-11

摘要/Abstract

摘要：在股票价格波动源模型——传统的正态分布的修正模型下，利用鞅方法定价，得到欧式上入局期权的定价公式.由于模型能更精确地描述现实市场的股价波动，从而得到的定价公式也能更好地贴近市场．作为该模型的特例，同时得到传统的对数正态分布模型下欧式上入局期权的定价公式．

关键词： 障碍期权, 鞅测度, 价格波动源模型, 风险中性定价, Girsanov定理

Abstract: Under the models of stock price fluctuation the author gets the pricing formula of the European Up-and-In Calls by means of Martingale approach (risk-neutral valuation)，especially,the pricing formula under the models of lognormal distribution.

Key words: barrier option, martingale measure, models of stock price fluctuation, risk-neutral valuation, Girsanov&rsquo, s theory

朱丹. 价格波动源模型下欧式上入局期权的鞅定价[J]. journal6, 2006, 27(3): 23-26.

ZHU Dan. Martingale Pricing of the European Up-and-In Calls Under the Models of Stock Price Fluctuation[J]. journal6, 2006, 27(3): 23-26.