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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
γ −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]
CQα∗(K,T) 0.4263 0.4263 0.4263 0.4263 0.4263 0.4263