| 基于FFT的区域变换对数均匀跳扩散模型期权定价 |
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| 引用本文： | 王春发,王翠萍.基于FFT的区域变换对数均匀跳扩散模型期权定价[J].运筹与管理,2011,20(2). |
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| 作者姓名： | 王春发 王翠萍 |
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| 作者单位： | 浙江财经学院金融学院,浙江,杭州,310018 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 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.
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| 关 键 词： | 跳扩散模型 区域转换 快速傅里叶变换法 期权定价 |
Option Pricing for a Jump Diffusion Model with Log-Uniform Jump-Amplitudes in a Regime-Switching Market Using FFT |
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| WANG Chun-fa,WANG Cui-ping.Option Pricing for a Jump Diffusion Model with Log-Uniform Jump-Amplitudes in a Regime-Switching Market Using FFT[J].Operations Research and Management Science,2011,20(2). |
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| Authors: | WANG Chun-fa WANG Cui-ping |
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| Institution: | WANG Chun-fa,WANG Cui-ping(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China) |
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| Abstract: | In this paper,option pricing for jump diffusion model with log-uniform jump-amplitudes in a Regime-Switching model is considered.The method of fast Fourier transform(FFT)is adopted to calculate the option prices.Numerical results are reported. |
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| Keywords: | jump diffusion model regime-switching fast fourier transform option pricing |
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