| 基于跳跃——扩散过程的外汇期权定价模型实证分析 |
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| 引用本文： | 贾品壹,陈燕武.基于跳跃——扩散过程的外汇期权定价模型实证分析[J].湖北财经高等专科学校学报,2010,22(1):11-13. |
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| 作者姓名： | 贾品壹 陈燕武 |
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| 作者单位： | 华侨大学,经济与金融学院,福建,泉州,362021 |
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| 摘 要： | 通过实证比较，本文认为外汇汇率服从跳跃——扩散过程的期权定价模型能更好地解释期权资产价格与其基础资产价格之间的内在变动关系，这对我国期权定价具有很好的借鉴意义。
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| 关 键 词： | 跳跃——扩散过程 欧式看涨期权 时变模型 |
Based on the Jump-Diffusion Process Empirical Analysis of Foreign Exchange Option Pricing Model |
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| JIA Ping-yi,CHEN Yan-wu.Based on the Jump-Diffusion Process Empirical Analysis of Foreign Exchange Option Pricing Model[J].Journal of Hubei College of Finance and Economics,2010,22(1):11-13. |
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| Authors: | JIA Ping-yi CHEN Yan-wu |
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| Institution: | JIA Ping-yi and CHEN Yan.wu(Overseas Chinese University of Economics and Finance University Quanzhou, Fujian 362021, China) |
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| Abstract: | This paper argues that foreign exchange rates, subject to lump -diffusion process of the option pricing model to better explain the options on the basis of asset price and its intrinsic relationship between asset prices,changes in relations, which for our option pricing has a good reference for the meaning. |
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| Keywords: | jump - diffusion process European call options time-varying model |
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