%0 Journal Article
%T 基于傅里叶变换的跳跃–扩散模型及欧式期权定价<br>Fourier Transform-Based Jump-Diffusion Model and European Option Pricing
%A 周琦力
%J Advances in Applied Mathematics
%P 278-284
%@ 2324-8009
%D 2024
%I Hans Publishing
%R 10.12677/AAM.2024.131030
%X 在假设风险资产服从跳跃扩散过程且不产生分红的条件下，基于傅里叶变换和跳跃扩散模型给出了普通欧式看涨期权定价公式，并借助数值分析手段对影响期权价格的因素进行了探讨。结果表明，行权价、到期期限等因素均对期权价格有影响。该方法对于更复杂的期权定价问题同样适用。<br />
Under the assumption that the risky asset obeys the jump-diffusion process and does not generate dividends, an ordinary European call option pricing formula is given based on the Fourier transform and the jump-diffusion model, and the factors affecting the option price are explored with the help of numerical analysis. The results show that the exercise price, maturity and other factors have an impact on the option price. This method is also applicable to more complicated option pricing prob-lems.
%K 跳跃扩散，傅里叶变换，特征函数，期权定价<br>Jump-Diffusion
%K Fourier Transform
%K Characteristic Function
%K Option Pricing
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=79645