The Application of Stock Price Model with the Jump in the Options

被引：0
|
作者：
Li, Caiyun [1 ]
Wang, Bingtuan [1 ]
Wang, Jun [1 ]
机构：
[1] Beijing Jiaotong Univ, Coll Sci, Beijing 100044, Peoples R China
来源：
PROCEEDINGS OF THE 8TH WSEAS INTERNATIONAL CONFERENCE ON INSTRUMENTATION, MEASUREMENT, CIRCUITS AND SYSTEMS: INSTRUMENTATION, MEASUREMENT, ELECTRONICS, CIRCUITS AND SYSTEMS | 2009年
基金：
美国国家科学基金会;
关键词：
Percolation theory; stock market; characteristic function; non-arbitrage price; FLUCTUATIONS;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In this paper, the percolation theory is applied to the stock market. We model a random stock price process with the jump, and according to the characteristic function of the process. we study the convergence of the distributions for the stock price process. Further, we discuss the corresponding approximation of the non-arbitrage price.
引用
收藏
页码：206 / +
页数：2
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