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本文在假设资产价格服从跳扩散过程的情况下,运用风险中性原理和等价鞅测度理论,讨论了平方障碍期权的定价问题,给出了定价公式。
This paper discusses the pricing problem of square obstacle options using the risk-neutral principle and the equivalent martingale measure theory under the condition that the asset price is subject to the jump-diffusion process. The pricing formula is given.