模糊跳扩散模型的二元期权定价

摘要

文章基于跳扩散模型用模糊数表示不能精确设定的利率、波动率、跳跃强度和跳跃大小的均值与方差，建立模糊跳扩散模型研究欧式二元看涨期权的定价。首先将跳扩散模型二元期权定价中的参数替换成它们相应的三角模糊数，得到了模糊跳扩散模型二元期权的模糊价格，然后根据模糊数的运算给出确定模糊价格不同水平集区间端点的方法，最后给出一个数值计算的例子。%In this paper,fuzziness is applied to describe the means and variance of interest rate,volatili-ty,average jump intensity and jump amplitudes that are free from precise determination,so as to consider Eu-ropean binary call option pricing based on the Merton′s jump diffusion model.Firstly,we present the pricing formulas for European binary options under the fuzzy jump diffusion model by replacing the above parame-ters by their fuzzy numbers,we also give the method of determining the different level set of fuzzy option price according to the fuzzy operation.At last we give a numerical example.