对数 t分布下带跳的标准回望期权定价

摘要

文章探讨了对数 t分布下带跳的标准回望期权定价问题。在定义期权市场价格V-（T ，S ，M）的过程中，运用到了最小均方误差规避方法，并给出了估计波动率参数σ的方法。%This paper discusses the problem of pricing standard lookback option under a log Student ’s t -distribution with jumps .In the process of defining the market price V-( t ,S ,M ) ,the method of minimal mean-square-error hedging is applied .The paper also gives an approach to estimating the volatility parameter σ.