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A mended method on Black-Scholes option pricing model
Author(s): 
Pages: 504-507
Year: Issue:  4
Journal: JOURNAL OF SOUTHWEST UNIVERSITY FOR NATIONALITIES(NATURAL SCIENCE EDITION)

Keyword:  Black-Scholes模型跳-扩散过程平价关系;
Abstract: 讨论了Black-Scholes模型的定价偏差,给出了一种改进方法.假设利率是随机的且风险资产的价格过程服从跳-扩散过程的情况下,研究了欧式期权定价问题,得到了欧式看涨期权和看跌期权定价公式及平价关系.
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