一类特殊混合跳扩散Black-Scholes模型的欧式回望期权定价

杨朝强

Pricing European Lookback Option in a Special Kind of Mixed Jump-Diffusion Black-Scholes Model

Zhaoqiang Yang

表 1 欧式固定履约价的回望看跌期权价格$(\varepsilon_1=0.01, \varepsilon_2=0.001, \varepsilon_3=0.0001)$

股价$S$ ${\mathscr P}_0$ ${\mathscr P}_1$ ${\mathscr P}_2$ ${\mathscr P}_3$ ${\mathscr P}_4$ ${\mathscr P}_5$ 精确值 10 71.419978523 73.636156468 76.519896751 81.145748979 84.912047501 88.658351421 87.5310 20 63.260586024 65.223576189 67.777862873 71.875233511 75.211250358 78.529556890 77.5310 30 55.101193512 56.810995913 59.035828989 62.604718032 65.510453213 68.400762361 67.5310 40 46.941801092 48.398415621 50.293795111 53.334202565 55.809656065 58.271967823 57.5310 50 38.782408511 39.985835343 41.551761231 44.063687088 46.108858922 48.143173289 47.5310 60 30.623016001 31.573255065 32.809727353 34.793171621 36.408061771 38.014378764 37.5310 70 22.464439443 23.161516031 24.068567676 25.523583232 26.708234734 27.886597117 27.5320 80 14.368445442 14.814301500 15.394459401 16.325099631 17.082812751 17.836503307 17.6097 90 7.057221764 7.276208938 7.561159943 8.018254242 8.390413468 8.760596967 8.6492