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《Journal of Shaanxi University of Technology(Natural Science Edition)》 2018-05
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Pricing of product options under jump-diffusion models

LIU Jia-yue;LI Cui-xiang;College of Mathematics and Information Science,Hebei Normal University;  
In order to make the pricing model of options more relevant to the actual market,we assume that the asset price follows the geometric Brownian motion with jumps,and the drift rate and the volatility of the asset be nonrandom functions of time. By using the property of Ito's integral,the pricing formula of the product option under the jump diffusion model is deduced.
【Fund】: 国家自然科学基金资助项目(11401159)
【CateGory Index】: F713.35;F224
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