| 王敬童,姚落根,范伟平.跳扩散扭曲函数在期权定价中的应用[J].南华大学学报(自然科学版),2020,34(5):87~92.[WANG Jingtong,YAO Luogen,FAN Weiping.Applications of Jump Diffusion Distortion Functionin Option Pricing[J].Journal of University of South China(Science and Technology),2020,34(5):87~92.] |
| 跳扩散扭曲函数在期权定价中的应用 |
| Applications of Jump Diffusion Distortion Functionin Option Pricing |
| 投稿时间：2020-07-05 |
| DOI： |
| 中文关键词: Merton跳扩散模型 扭曲函数 期权定价 保险定价 王变换〖PS王敬童二维码.tif Y4*4,Y#〗 |
| 英文关键词:Merton jump diffusion model distortion function option pricing insurance pricing Wang transform |
| 基金项目:湖南省教育厅重点项目(19A267;19A271);湖南省自然科学基金项目(2019JJ40141) |
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| 中文摘要: |
| 基于Merton跳扩散分布,提出了Merton跳扩散扭曲函数。证明了在Merton跳扩散模型中,按Merton跳扩散扭曲函数得到的期权价格和在均值修正鞅测度下得到的期权价格一致。数值计算结果表明,Merton跳扩散扭曲函数在定价准确性方面要好于基于NIG分布和标准正态分布的扭曲函数。 |
| 英文摘要: |
| Based on Merton jump diffusion distribution,Merton jump diffusion distortion function is put forward.It is shown that option price under Merton jump diffusion distortion function is just the price under mean correcting martingale measure in Merton jump diffusion model.The numerical results show that in terms of pricing accuracy,the distortion function based on Merton jump diffusion distribution performs better than that on NIG distribution and standard normal distribution. |
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