| 基于Fourier变换的裂解价差期权定价 |
| |
| 引用本文： | 庄乾乾,程希骏,李静.基于Fourier变换的裂解价差期权定价[J].数学杂志,2016,36(4):841-850. |
| |
| 作者姓名： | 庄乾乾 程希骏 李静 |
| |
| 作者单位： | 中国科学技术大学统计与金融系, 安徽 合肥 230026,中国科学技术大学统计与金融系, 安徽 合肥 230026,中国科学技术大学统计与金融系, 安徽 合肥 230026 |
| |
| 基金项目： | 国家自然科学基金资助(11371340). |
| |
| 摘 要： | 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.
|
| 关 键 词： | ASubCIR模型 Fourier变换 期货期权 价差期权 |
| 收稿时间： | 2014/12/12 0:00:00 |
| 修稿时间： | 2015/1/15 0:00:00 |
FOURIER TRANSFORM APPROACH FOR PRICING CRACK SPREAD OPTIONS |
| |
| ZHUANG Qian-qian,CHENG Xi-Jun and LI Jing.FOURIER TRANSFORM APPROACH FOR PRICING CRACK SPREAD OPTIONS[J].Journal of Mathematics,2016,36(4):841-850. |
| |
| Authors: | ZHUANG Qian-qian CHENG Xi-Jun and LI Jing |
| |
| Institution: | Dpt. of Statistic and Finance, University of Science and Technology of China, Hefei 230026, China,Dpt. of Statistic and Finance, University of Science and Technology of China, Hefei 230026, China and Dpt. of Statistic and Finance, University of Science and Technology of China, Hefei 230026, China |
| |
| Abstract: | In this paper, we study the problem of pricing future options and crack spread options. By using Fourier transform, we get the pricing formula of one-factor future options, two-factor future options and spread options under ASubCIR model. Finally, we show that the price of options can be obtained by C++ and MATLAB, and the problems of slowness and unstablity brought by eigenfunction expansion approach are also solved. |
| |
| Keywords: | ASubCIR model Fourier transform future option spread option |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《数学杂志》浏览原始摘要信息 |
| 点击此处可从《数学杂志》下载免费的PDF全文 |
|
