J4 ›› 2013, Vol. 51 ›› Issue (02): 187-190.
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YUAN Yuan, ZHANG Chengbin, LI Huilai
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Abstract:
Using the partial differential equation theory, we got a class of option pricing models based on jumpdiffusion process with instantaneous volatility, and obtained the properties of the option pricing under the double effects of Brown motion and Poisson process.
Key words: jumpdiffusion process, volatility, Brown motion, Poisson process, option pricing
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YUAN Yuan, ZHANG Cheng-Bin, LI Hui-Lai. A Kind of Option Pricing Model Based on JumpDiffusion Process[J].J4, 2013, 51(02): 187-190.
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http://xuebao.jlu.edu.cn/lxb/EN/Y2013/V51/I02/187
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