期权定价的保凸跳扩散模型
Convexity preserving jump-diffusion models for option pricing
摘要：
我们研究哪些跳跃扩散模型是保凸的。保凸模型的研究是由波动率和跳变参数的单调性结果引起的。本文给出了几维跳跃扩散模型保凸性的一个必要条件。这个必要条件然后被用来表明，在一个大类的可能的模型，唯一的保凸模型是线性系数。
英文摘要：
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility and in the jump parameters. We give a necessary condition for convexity to be preserved in several-dimensional jump-diffusion models. This necessary condition is then used to show that, within a large class of possible models, the only convexity preserving models are the ones with linear coefficients.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
