PRICING OPTIONS ON SECURITIES WITH DISCONTINUOUS RETURNS

被引：20

作者：

BARDHAN, I ^{[1
]}

CHAO, XL ^{[1
]}

机构：

[1] NEW JERSEY INST TECHNOL,DIV IND & MANAGEMENT ENGN,NEWARK,NJ 07102

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1993年 / 48卷 / 01期

关键词：

POINT PROCESSES; STOCHASTIC INTENSITY; EQUIVALENT MARTINGALE MEASURE; EUROPEAN AND AMERICAN OPTIONS; VALUATION EQUATION;

D O I：

10.1016/0304-4149(93)90110-P

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a financial market where the asset prices are driven by a multidimensional Brownian motion process and a multidimensional point process of random jumps admitting stochastic intensity. Using the equivalent martingale measure approach, we construct hedging portfolios for European and American contingent claims. We also present a valuation equation that must be satisfied by any derivative security and can be solved numerically to obtain option prices.

引用

页码：123 / 137

页数：15

共 16 条

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