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假定股票价格服从双分数布朗运动和泊松过程共同驱动的随机微分方程,股票预期收益率,无风险利率和股价波动率均为常数,建立双分数跳-扩散环境下金融数学模型,利用保险精算方法,结合双分数跳-扩散随机分析理论研究后定选择权定价问题,得出了双分数跳-扩散环境下后定选择权定价公式。
Assuming that the stock price is subject to the stochastic differential equation driven by the double-fraction Brownian motion and the Poisson process, the stock expected rate of return, the risk-free rate and the stock price volatility are both constant. The financial mathematic model under the bifurcated jump-diffusion environment is established and the actuarial method , Combined with the theory of bifurcation jump-diffusion stochastic analysis to study the pricing of post-option, we get the pricing formula of post-option in dual-jump-diffusion environment.