Measure Transformation for Pure Jump Processes and Option Pricing

摘要：

A model for log stock price that follows a pure jump process is proposed.And then a set of risk neutral measures are obtained by measure transformation and the minimal entropy martingale measure (MEMM) is found.In the end,the characteristic function under this measure is obtained,which can help to price a large class of options on stock price that follows this process.

关键词： pure jump processes risk neutral measure relative entropy Girsanov theorem

作者: Lihong Yang Yunyan He

作者单位: College of Mathematical Sciences,South China Univ.of Tech.,Guangzhou 510640,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 668-672

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）