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1.
连续支付红利及有交易成本的领子期权定价模型   总被引:1,自引:0,他引:1  
在无风险利率r(t)和波动率σ(t)均为时间t的函数及市场无套利假设下,分别考虑了连续红利率q(t)和有交易成本情况下的领子期权定价,通过建立相应定价模型,得到了领子期权不同的定价公式.  相似文献   

2.
本文在连续时间支付红利,且股票价格服从Poisson跳-扩散过程的假设下,建立股票价格模型,并应用保险精算法给出一类奇异期权—再装期权再装一次情况下的定价公式.  相似文献   

3.
全志勇  王瑜 《经济数学》2010,27(1):26-29
在标的资产支付离散红利的情形下,对交换期权定价问题进行了讨论,并采用Dai和Lyuu(2008)的股票支付离散红利的期权定价方法,给出了支付离散红利的交换期权的闭式解。  相似文献   

4.
假设股票随机支付红利,且红利的大小与支付红利时刻及股票价格有关,并假设股票价格过程服从跳—扩散模型(其中跳跃过程为Poisson过程)的条件下,建立了股票价格行为模型,应用保险精算法给出了欧式看涨和看跌期权的定价公式,推广了Merton关于期权定价的结果。  相似文献   

5.
研究随机利率Vasicek模型下欧式缺口期权的定价问题,利用偏微分方程方法给出了欧式缺口看涨期权和看跌期权的定价公式,并且是Vasicek利率模型下标准欧式期权定价公式的一种推广.  相似文献   

6.
分数布朗运动环境中标的资产有红利支付的欧式期权定价   总被引:15,自引:0,他引:15  
本文在标的资产或基础股票的价格服从几何分数布朗运动模型假设下 ,分别在无风险利率 r和股价波动率 σ为常数和为时间 t的非随机函数的情况下 ,求出了有红利支付的欧式期权的定价公式 .  相似文献   

7.
任智格  何朗  黄樟灿 《数学杂志》2015,35(1):203-206
本文研究了无风险利率改进的Black-Scholes期权定价模型问题.利用指数函数和Ito公式的方法,获得了一种改进的Black-Scholes期权定价模型,推广了现有Black-Scholes期权定价模型的结果.  相似文献   

8.
博弈期权是一种赋予期权出售方在期权有效期内任意时刻可以赎回合约权利的美式期权.在B-S框架下分析了双币种情形下的博弈期权定价行为,建立了双币种博弈期权的定价模型,分别讨论了敲定价以国内货币计价和国外货币计价下的博弈期权定价问题及其最优赎回策略,通过运用偏微分方程的方法得到了这两种情形下期权价格的表达式及其最优执行边界.最后通过数值模拟,分析了标的资产和汇率的波动水平以及汇率与标的资产的相关系数对期权的最优执行策略和违约金边界的影响.  相似文献   

9.
遵循衍生品定价的思路,分别采用均值回复过程、平方根扩散过程、带跳的均值回复过程来刻画信用利差的动态变化,进而构建了三类信用利差期权定价模型.分别选取解析解方法、傅里叶变换法和蒙特卡洛模拟法等方法来进行信用利差期权定价仿真,并对不同模型的定价效果进行实证比较分析.结果表明:不同信用利差期权定价模型之间存在着较大差异,其到期日和执行价格对信用利差期权价格的影响规律不同.  相似文献   

10.
研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式.  相似文献   

11.
针对假设股价的对数收益率布朗运动在期权定价时产生的无法解释股价对数收益率的尖峰厚尾和序列相关性的缺陷,采用了Zhang提出的非对称漂移双gamma跳-扩散过程来描述资产(股价)的对数收益率运动形态(该过程是kou提出的双指数跳-扩散过程的推广),并利用Esscher风险中性变换,研究了幂型期权的定价公式.还设计了两种创新的幂型期权,在非对称漂移双gamma跳-扩散过程下给出了相应的定价公式.  相似文献   

12.
主要研究指数Lévy形式的跳-扩散模型下欧式期权的定价问题.首先,给出了模型在均值修正等价鞅测度下的风险中性特征函数;然后,基于特征函数给出了欧式期权的傅里叶COS定价方法,并对COS方法进行修正,得到了指数Lévy形式跳-扩散模型的期权定价公式;最后,通过数值实验和实证分析检验了COS定价方法有效性,结果表明COS方法是一种稳定有效的数值方法,修正后的COS定价方法收敛速度更快、精度更高,与BS模型相比,跳-扩散模型能更精确的拟合市场数据.  相似文献   

13.
This paper is concerned with the valuation of equity-linked annuities with mortality risk under a double regime-switching model, which provides a way to endogenously determine the regime-switching risk. The model parameters and the reference investment fund price level are modulated by a continuous-time, finite-time, observable Markov chain. In particular, the risk-free interest rate, the appreciation rate, the volatility and the martingale describing the jump component of the reference investment fund are related to the modulating Markov chain. Two approaches, namely, the regime-switching Esscher transform and the minimal martingale measure, are used to select pricing kernels for the fair valuation. Analytical pricing formulas for the embedded options underlying these products are derived using the inverse Fourier transform. The fast Fourier transform approach is then used to numerically evaluate the embedded options. Numerical examples are provided to illustrate our approach.  相似文献   

14.
The Esscher transform is an important tool in actuarial science. Since the pioneering work of Gerber and Shiu (1994), the use of the Esscher transform for option valuation has also been investigated extensively. However, the relationships between the asset pricing model based on the Esscher transform and some fundamental equilibrium-based asset pricing models, such as consumption-based models, have so far not been well-explored. In this paper, we attempt to bridge the gap between consumption-based models and asset pricing models based on Esscher-type transformations in a discrete-time setting. Based on certain assumptions for the distributions of asset returns, changes in aggregate consumptions and returns on the market portfolio, we construct pricing measures that are consistent with those arising from Esscher-type transformations. Explicit relationships between the market price of risk, and the risk preference parameters are derived for some particular cases.  相似文献   

15.
In this paper, a pricing problem for corporate bond with dynamic default barrier is studied under a hybrid model. Firstly, a mathematical model for the pricing problem is set up by applying risk-free equilibrium principle. Then, a closed-form formula for the pricing model is obtained by using the variable transformation technique and the image method, which extends the relevant literature's results. Finally, a numerical experiment is presented to analyze the effect of the dynamic barrier on the bond price. Our studies show that the different shape curve of a bond's price can be obtained by adjusting the relevant parameter on the default boundary, and then can control the risk or get a higher bond's yield  相似文献   

16.
This paper investigates the pricing of CatEPuts under a Markovian regime-switching jump-diffusion model. The parameters of this model, including the risk-free interest rate, the appreciation rate and the volatility of the clients' equity, are modulated by a continuous-time, finite-state, observable Markov chain. An equivalent martingale measure is selected by employing the regime-switching Esscher transform. The fast Fourier transform (FFT) technique is applied to price the CatEPuts. In a two-state Markov chain case, numerical example is presented to illustrate the practical implementation of the model.  相似文献   

17.
介绍了Esscher变换的方法,对标的资产价格遵循B-S模型的条件下,给出了有支付红利和不支付红利的欧式重设型卖权的定价公式.并说明在适当的条件下,著名的B-S模型下的欧式卖权公式将是本文的特例.  相似文献   

18.
In this paper, we introduce a unifying approach to option pricing under continuous‐time stochastic volatility models with jumps. For European style options, a new semi‐closed pricing formula is derived using the generalized complex Fourier transform of the corresponding partial integro‐differential equation. This approach is successfully applied to models with different volatility diffusion and jump processes. We also discuss how to price options with different payoff functions in a similar way. In particular, we focus on a log‐normal and a log‐uniform jump diffusion stochastic volatility model, originally introduced by Bates and Yan and Hanson, respectively. The comparison of existing and newly proposed option pricing formulas with respect to time efficiency and precision is discussed. We also derive a representation of an option price under a new approximative fractional jump diffusion model that differs from the aforementioned models, especially for the out‐of‐the money contracts. Copyright © 2017 John Wiley & Sons, Ltd.  相似文献   

19.
庄乾乾  程希骏  李静 《数学杂志》2016,36(4):841-850
本文研究了期货期权和裂解价差期权的定价问题.利用Fourier变换方法,在ASub CIR模型的基础上,获得了单因素期货期权,两因素期货期权以及价差期权价格的表达式,最后用C++和MATLAB计算出期权的价格,解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题.  相似文献   

20.
本文考虑具有区域变换跳跃幅度服从对数均匀分布的跳扩散模型的期权定价问题.本文给出了这样模型的期权定价方法和计算过程,当中采用了FFT(快速傅里叶变换法),最后给出了数值计算结果.  相似文献   

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