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 2 欧式固定履约价的回望看跌期权价格$(\varepsilon_1=0.02, \varepsilon_2=0.002, \varepsilon_3=0.0002)$

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 67.386870055 71.018366151 76.238252122 83.309467972 86.150639011 89.728816161 87.5310 20 59.688240989 62.904855955 67.528394784 73.791757867 76.308338686 79.477726082 77.5310 30 51.989611921 54.791345753 58.818537464 64.274047874 66.466038363 69.226636056 67.5310 40 44.290982862 46.677835544 50.108680141 54.756337743 56.623738038 58.975546033 57.5310 50 36.592353837 38.564325343 41.398822822 45.238627682 46.781437737 48.724456004 47.5310 60 28.893724747 30.450815141 32.688965565 35.720917626 36.939137373 38.473365978 37.5310 70 21.195865544 22.338116291 23.979979171 26.204159333 27.097821272 28.223301060 27.5320 80 13.557054821 14.287648062 15.337797447 16.760401881 17.331995611 18.051862002 17.6097 90 6.658698249 7.017537244 7.533329792 8.232057784 8.512802401 8.866372785 8.6492