论文标题
带有复合泊松跳跃的随着时变的Lévy型号的定价
Option pricing in time-changed Lévy models with compound Poisson jumps
论文作者
论文摘要
考虑到复合泊松跳跃，欧洲风格的选项定价的价格定价。这些跳跃涉及政治或经济流行歌曲引起的股票价格突然下跌。随着时间变化的Lévy模型，讨论了方差 - 脉冲和正常的欧乳房高斯模型。以外币为额外资产的数字资产或全天候呼叫选项的价格提供了确切的公式。可以作为我们的结果的推论，并提出了示例，可以得出更简单的选择的价格。提到了股票价格之间的各种依赖关系。
The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the time-changed Lévy models, the variance-gamma and the normal-inverse Gaussian models are discussed. Exact formulas are given for the price of digital asset-or-nothing call option on extra asset in foreign currency. The prices of simpler options can be derived as corollaries of our results and examples are presented. Various types of dependencies between stock prices are mentioned.
