带跳随机波动率模型的美式期权及美式障碍期权定价

吉林大学学报(理学版) ›› 2020, Vol. 58 ›› Issue (5): 1119-1129.

带跳随机波动率模型的美式期权及美式障碍期权定价

薛广明, 林福宁

广西财经学院信息与统计学院, 南宁 530003

收稿日期:2020-01-08 出版日期:2020-09-26 发布日期:2020-11-18
通讯作者: 林福宁 E-mail:toplin518@126.com

Pricing of American Options and American Barrier Options with Jump Stochastic Volatility Model

XUE Guangming, LIN Funing

School of Information and Statistics, Guangxi University of Finance and Economics, Nanning 530003, China

Received:2020-01-08 Online:2020-09-26 Published:2020-11-18

摘要/Abstract

摘要： 用两点G-J法和三点G-J法, 在跳扩散随机波动率模型下对百慕大期权进行离散化处理, 给出美式障碍期权和美式期权定价, 并对其进行数值计算和结果分析.

关键词: 跳扩散模型, 随机波动率, Girsanov测度变换, 障碍期权, Fourier反变换

Abstract: We used two-point G-J method and three-point G-J method to discretize Bermuda option based on the jump diffusion stochastic volatility model, gave the pricing of American barrier option and American option, and gave the numerical calculation and the result analysis.

Key words: jump diffusion model, stochastic volatility, Girsanov measure transformation, barrier option, Fourier inverse transform

中图分类号:

O211.9

薛广明, 林福宁. 带跳随机波动率模型的美式期权及美式障碍期权定价[J]. 吉林大学学报(理学版), 2020, 58(5): 1119-1129.

XUE Guangming, LIN Funing. Pricing of American Options and American Barrier Options with Jump Stochastic Volatility Model[J]. Journal of Jilin University Science Edition, 2020, 58(5): 1119-1129.

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