| 随机波动率与跳扩散组合模型的双币种期权定价 |
| |
| 引用本文： | 韦铸娥,奚欢,何家文. 随机波动率与跳扩散组合模型的双币种期权定价[J]. 数学的实践与认识, 2019, 0(11): 306-312 |
| |
| 作者姓名： | 韦铸娥 奚欢 何家文 |
| |
| 作者单位： | 南宁学院信息工程学院;上海财经大学浙江学院统计系;南宁学院公共教学部 |
| |
| 基金项目： | 国家自然科学基金(11461008);浙江省教育厅科研项目(Y201738176);广西高校中青年教师基础能力提升项目(2015C436);南宁学院校级科研项目(2018XJ44) |
| |
| 摘 要： | 在股价和汇率满足随机波动率与跳扩散组合模型下应用半鞅Ito公式、多维随机变量的联合特征函数、Girsanov测度变换以及Fourier反变换等随机分析技巧给出了双币种欧式期权价格的封闭式解,并利用数值实例分析了波动参数对期权价格的影响,结果表明:波动率参数对期权价格有显著的影响作用.
|
| 关 键 词： | 双币种期权 跳扩散模型 随机波动率 |
Valuation on Quanto Options in Jump-Diffusion Model with Stochastic Volatility |
| |
| WEI Zhu-e,XI Huan,HE Jia-wen. Valuation on Quanto Options in Jump-Diffusion Model with Stochastic Volatility[J]. Mathematics in Practice and Theory, 2019, 0(11): 306-312 |
| |
| Authors: | WEI Zhu-e XI Huan HE Jia-wen |
| |
| Affiliation: | (College of Information Engineering, Nanning University, Nanning, Guangxi 530200, China;School of Statistics, Shanghai University of Finance and Economics Zhejiang College, Jinhua 321000, China;School of Foundational Education, Nanning University, Nanning 530200, China) |
| |
| Abstract: | WEI Zhu-e;XI Huan;HE Jia-wen(College of Information Engineering, Nanning University, Nanning, Guangxi 530200, China;School of Statistics, Shanghai University of Finance and Economics Zhejiang College, Jinhua 321000, China;School of Foundational Education, Nanning University, Nanning 530200, China) |
| |
| Keywords: | Quanto options jump-diffusion model stochastic volatility |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
