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市场中重大信息的到达会引起股票价格的跳跃.假设关于标的股票的重大信息到达服从更新过程,利用套期保值和无套利的思想,研究了欧式期权的定价.给出了更新跳跃情况下股票的价格公式和欧式期权应满足的偏微分方程,用Feynman-Kac公式求得欧式买权的价格,并用计算结果进行了验证.
The arrival of important information in the market will lead to the jump of the stock price.We assume that the major information about the underlying stock arrives to obey the updating process and use the hedging and no arbitrage ideas to study the pricing of European options.The paper gives the stock The price formula of European option and the partial differential equation of European option should be satisfied by the Feynman-Kac formula, and the result of the calculation is validated.