| 非仿射随机波动率的欧式障碍期权定价 |
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| 引用本文： | 温 鲜,霍海峰.非仿射随机波动率的欧式障碍期权定价[J].经济数学,2018(2):68-71. |
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| 作者姓名： | 温 鲜 霍海峰 |
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| 作者单位： | 广西科技大学鹿山学院公共数学教学部;广西科技大学理学院 |
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| 摘 要： | 研究非仿射随机波动率模型的欧式障碍期权定价问题时,首先介绍了非仿射随机波动率模型,其次利用投资组合和It^o引理,得到了该模型下扩展的Black-Schole偏微分方程.由于这个方程没有显示解,因此采用对偶蒙特卡罗模拟法计算欧式障碍期权的价格.最后,通过数值实例验证了算法的可行性和准确性.
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| 关 键 词： | 概率论 期权定价 蒙特卡洛模拟 |
Pricing of European Barrier Options in Non-Affine Stochastic Volatility Model |
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| Xian Wen,Haifeng Huo.Pricing of European Barrier Options in Non-Affine Stochastic Volatility Model[J].Mathematics in Economics,2018(2):68-71. |
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| Authors: | Xian Wen Haifeng Huo |
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| Institution: | (1.Public mathematics department, Lushan College of Guangxi University of Science and Technology, Liuzhou, Guangxi 545616, China; 2.College of Science, Guangxi University of Science and Technology, Liuzhou, Guangxi 545006, China) |
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| Abstract: | Under non-affine stochastic volatility model, the pricing problem of an European Barrier option is considered in this paper. First, the non-affine stochastic volatility model is introduced. Secondly, by constructing a portfolio and using Ito lemma, the extension of Black-Scholes parti-al differential equation is obtained. Due to this equation has not a formula solution, the Monte Carlo simulation with antithetic variables is used to calculate the price of European barrier option. Finally, the feasibility and accuracy of the algorithm are verified by numerical examples. |
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| Keywords: | probability pricing options Monte Carlo simulation |
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