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.
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