AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS

被引：0
|
作者：
Kunita, Hiroshi [1 ]
Yamada, Takuya [1 ]
机构：
[1] Nanzan Univ, Dept Math Sci, Nagoya, Aichi 4668673, Japan
来源：
ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 27卷 / 02期
关键词：
Mathematical finance for jump diffusion process; Ito's formula for jumps process; Girsanov's theorem for jumps process; option pricing for jump diffusion;
D O I：
10.1142/S0217595910002612
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we study the problem of pricing average strike options in the case where the price processes are jump diffusion processes. As to the striking value we take the geometric average of the price process. Two cases are studied in details: One is the case where the jumping law of the price process is subject to a Gaussian distribution called Merton model, and the other is the case where the jumping law is subject to a double exponential distribution called Kou model. In both cases the price of the average strike option is represented as a time average of a suitable European put option.
引用
收藏
页码：143 / 166
页数：24
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