使用 Merton 的跳跃-扩散模型模拟期权价格
compensated Poisson process
定义期权价格的 Merton 跳跃-扩散模型.
| In[1]:= |  X |
模拟过程.
| In[2]:= |  X |
| In[3]:= |  X |
| Out[3]= |  |
计算过程的切片属性.
| In[4]:= |  X |
| Out[4]= |  |
根据样本对切片分布进行近似.
| In[5]:= |  X |
| In[6]:= |  X |
| Out[6]= |  |
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