|Table of Contents|

Pricing of Butterfly Option in the Ornstein-UhlenbeckStochastic Volatility Model(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2021年03期
Page:
14-19
Research Field:
·数学·
Publishing date:

Info

Title:
Pricing of Butterfly Option in the Ornstein-UhlenbeckStochastic Volatility Model
Author(s):
Tian Fan1; Li Meihong2; Liu Guoxiang1; Zhang Yunhan1; Huang Fengyun1; You Lei1
(1.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)(2.Nanjing No.12 Middle School,Nanjing 210009,China)
Keywords:
butterfly option; Ornstein-Uhlenbeck stochastic volatility model; stochastic partial differential equation pricing method; martingale method
PACS:
O211.9
DOI:
10.3969/j.issn.1001-4616.2021.03.003
Abstract:
In this article,we will consider the underlying asset is in the mean-reverting Ornstein-Uhlenbeck stochastic volatility model,and apply the stochastic partial differential equation pricing method and the martingale method respectively to discuss the pricing formula of butterfly option.

References:

[1] BLACK F,SCHOLES M J. The pricing of options and corporate liabilities[J]. Journal of political economy,1973,81(3):637-654.
[2]HULL J C,WHITE A. The pricing of options on assets with stochastic volatilities[J]. Journal of finance,1987(42):281-300.
[3]SCOTT L O. Option pricing when the variance changes randomly:theory,estimation,and an application[J]. Journal of financial and quantitative analysis,1987,22(4):419-438.
[4]HESTON S L. A closed form-solution for options with stochastic volatility with applications to bond and currency options[J]. Review of financial studies,1933(6):327-343.
[5]RAINER S,ZHU J W. Stochastic volatility with an Ornstein-Uhlenbeck process:an extension[J]. European finance review,1999(3):23-46.
[6]邓国和,杨向群. 随机波动率与双指数跳扩组合模型的美式期权定价[J]. 应用数学学报,2009(2):236-255.
[7]梅正阳,刘次华. 一类随机波动率的美式期权定价[J]. 山西大学学报(自然科学版),2008(3):443-446.
[8]姜礼尚,徐承龙,任学敏,等. 金融衍生产品定价的数学模型与案例分析[M]. 北京:高等教育出版社,2008.
[9]STEIN E M,STEIN J C. Stock price distributions with stochastic volatility:an analytic approach[J]. Review of financial studies,1991,4(4):727-752.
[10]OLDRICH V. An equilibrium characterization of the term structure[J]. Journal of financial economics,1977,5(2):177-188.
[11]POTERBA J M,SUMMERS L H. Mean reversion in stock prices:evidence and implications[J]. Journal of financial economics,1988,22(1):27-59.
[12]GEMAN H,KAROUI N E,ROCHET J C. Changes of numeraire,changes of probability measure and option pricing[J]. Journal of applied probability,1995(32):443-458.

Memo

Memo:
-
Last Update: 2021-09-15