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在实际经济生活中,Black-Scholes期权定价模型[2]应用广泛,它带动了整个衍生金融产品市场的蓬勃发展。但是B—S模型涉及一些与现实不符的假设,如没有交易成本,不支付红利或市场是无摩擦的等,使得B—S模型的使用受到很大局限。前人对B—S模型进行了改进得到了跳扩散过程下的期权定价模型,本文在跳扩散过程的基础上添加了红利支付,求解出支付红利跳扩散过程下欧式期权的风险值。
In practical economic life, the Black-Scholes option pricing model [2] is widely used, which has led to the vigorous development of the entire derivative financial product market. However, the B-S model involves a number of assumptions that are not realistic, such as no transaction costs, no pay dividends or no friction on the market, which makes the use of the B-S model very limited. The predecessors improved the B-S model and obtained the option pricing model under the process of jump-diffusion. This paper adds the dividend payment based on the jump-diffusion process, and solves the risk value of the European option under the process of paying dividends and jumps.