European Stock Option Pricing Model Based on Jump-Diffusion Process

被引：0
|
作者：
Zhou Shengwu [1 ]
Zhang Yan [1 ]
Shi Guangping [1 ]
Niu Chenghu [1 ]
Xu Qing [1 ]
机构：
[1] China Univ Min & Technol, Coll Sci, Xuzhou 221116, Peoples R China
来源：
ICMS2010: PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON MODELLING AND SIMULATION, VOL 6: MODELLING & SIMULATION INDUSTRIAL ENGINEERING & MANAGEMENT | 2010年
关键词：
Jump-diffusion process; European stock option; pricing model;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The pricing problem on European option with the underlying stock price following jump-diffusion process was studied by use of risk neutral pricing principle,the pricing formulae of European call option and put option were given.
引用
收藏
页码：141 / 144
页数：4
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