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假定股票的波动率过程和回报过程具有共同的相关跳,研究了在均衡框架下,基于跳扩散过程的股票风险溢价以及期权定价问题,讨论了股票风险溢价和相关跳之间的关系.在均衡途径下,给定了一个定价核,然后推导了期权定价公式.数值结果说明了相关跳和投资人的相对风险厌恶系数之间的关联性.
We assume that the stock volatility process and return process have a common correlation jump, and study the stock risk premium and option pricing under the framework of the equilibrium diffusion in the framework of equilibrium, and discuss the relationship between stock risk premium and related jumps.In the equilibrium Given a pricing kernel, the pricing formula of the option is deduced, and the numerical result shows the correlation between the relative risk aversion coefficient of the relevant jump and the investor.