跳扩散模型下的两种奇异期权定价

摘要

It is assumed that the jump process in stock price is a special kind of renewal process .The jump diffusion model with multiple sources of jumps is established under the stochastic interest rates .Based on equivalent martingale transformation measure , two exotic pricing formulas are deduced .%假定股票价格的跳过程为一类特殊的更新过程，建立随机利率下带多个跳源的跳扩散模型，利用等价鞅测度变换方法，推导出两种奇异期权的定价公式。