在多跳跃-扩散过程下的幂型再装期权的定价

摘要

考虑股票价格服从多跳跃随机过程,在无套利的条件下,通过运用等价鞅测度的方法和条件期望的一些结论,推导出在多跳跃-扩散过程下幂型再装期权的显式解.%Considering the stock price is subject to multiple jump-diffusion stochastic process, in no-arbitrage conditions, by applying equivalent martingale measure and some conclusions of conditional expectation, the explicit solution of the option is deduced.