假定股票价格服从跳跃扩散过程。
It is assumed that the stock price follows the jump_diffusion process.
证明了一个状态为跳跃扩散过程的一般最优控制问题的验证性定理。
A verification theorem for general stochastic optimal control with the state following a jump_diffusion process is showed.
最后，针对蒙特卡洛模型的上述缺陷我们提出了的两点改进方案，一、假设合约价格变化服从merton提出的跳跃扩散过程，以便捕捉收益率序列的厚尾特征。
Finally we propose two improvements to the Monte Carlo model, on one hand we assume price changes follows jump-diffusion process in order to capture the fat-tail feather of the yields sequence.
违约分析的结构方法大多选择纯扩散过程描述股票和资产价值变化，不能反映突发信息引起的异常跳跃。
Most of the structural methods choose pure diffusion model to describe the evolution process of stock price and asset value, but it can not reflect the sudden jump risk.
违约分析的结构方法大多选择纯扩散过程描述股票和资产价值变化，不能反映突发信息引起的异常跳跃。
Most of the structural methods choose pure diffusion model to describe the evolution process of stock price and asset value, but it can not reflect the sudden jump risk.
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