指数半鞅模型中的均值修正鞅测度

姚落根,杨刚,杨向群

Mean Correcting Martingale Measure for Exponential Semimartingale Market Models

Luogen Yao,Gang Yang,Xiangqun Yang

表 1 模型中欧式看涨期权的价格

$\gamma$ $-0.3000$ $ -0.3500$ $ -0.4000$ $-0.4500 $ $-0.4577 $ $-0.5000 $ 平凡边界 [0, 1] [0, 1] [0, 1] [0, 1] [0, 1] [0, 1] $[J_-, J_+]$ [0, 0.3297] [0, 0.3624] [0, 0.3935] [0, 0.4231] [0, 0.4263] [0, 0.4512] $C^{Q^{\alpha^*}}(K, T)$ 0.4263 0.4263 0.4263 0.4263 0.4263 0.4263