[1]丁玲,杨纪龙.带随机波动率的Lévy模型下美式看涨期权的定价[J].南京师范大学学报(自然科学版),2008,31(03):48-53.
 Ding Ling,Yang Jilong.Pricing of American Call Option Under Lévy Model With Stochastic Volatility[J].Journal of Nanjing Normal University(Natural Science Edition),2008,31(03):48-53.
点击复制

带随机波动率的Lévy模型下美式看涨期权的定价()
分享到:

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

卷:
第31卷
期数:
2008年03期
页码:
48-53
栏目:
数学
出版日期:
2008-09-30

文章信息/Info

Title:
Pricing of American Call Option Under Lévy Model With Stochastic Volatility
作者:
丁玲1 杨纪龙2
( 1. 江苏科技大学基础教学部, 江苏张家港215600)
( 2. 南京师范大学数学与计算机科学学院, 江苏南京210097 )
Author(s):
Ding Ling1Yang Jilong2
1.Department of Basic Education,Jiangsu University of Science and Technology,Zhangjiagang 215600,China
关键词:
美式期权 随机波动率 Lévy模型 期权定价
Keywords:
Ame rican option stochastic vo la tility L?vy m odel option pr ic ing
分类号:
F830.9;F224
摘要:
期权定价是现代金融理论的重要内容之一.期权的价格通常与标的资产价格的波动率等因素有关.B-S模型中假设波动率为常数,而实际上波动率往往是一个随机过程.本文研究带随机波动率的Lévy模型下美式看涨期权的定价问题,得到了美式看涨期权的最优执行时间以及期权价格满足的偏微分方程.
Abstract:
Option pric ing is one of the im po rtant contents in the m odern theory o f finance. Option price is re la ted to the vo latility of unde rlying assets. In the B- S m ode,l volatility is assum ed as a constant, bu t in rea lity, it is o ften seem ed as a random process. In th is pape r, the pric ing o fAm erican call option under L?vym odelw ith stochastic vo la tility was d iscussed. The optim a l exe rc ising tim e of Ame rican call option and the partial differential equation o f the value function o f the option were obta ined.

参考文献/References:

[ 1] W igg ins J B. Option va lues under stochastic vo latility: Theory and em pir ica l estim ates[ J] . Jou rnal o f F inanc ia l E conom ics,1987, 19: 351-372.
[ 2] H ull J, W hite A. The pr ic ing of options on assets w ith stochastic vo latility [ J]. The Journa l o f F inance, 1987, 42: 281-300.
[ 3] H ull J, W hite A. An analysis of the bias in option pricing w ith stochastic vo latility [ J] . Adv Futures Opt Res, 1988, 3: 29-61.
[ 4] H eston S L. A c losed- fo rm so lution for options w ith sto chastic vo la tility w ith applications to bond and currency options[ J].
The Rev iew o f F inancia l Stud ies, 1993, 6: 327-343.
[ 5] Fouque J P, Papanicolaou G, S ipcarK R. Der ivatives in F inanc ia lM arke tsw ith StochasticVo latility[M ]. Cam bridge: C ambridge Un iversity Press, 2000.
[ 6] M asaaki Otaka. Study on option pr ic ing in an incom pletem arket w ith stochastic vo la tility based on risk prem ium analysis[ J].M a them a tica l and Com puterM ode lling, 2003, 38: 1 399-1 408.
[ 7] 陈萍, 杨孝平. 有随机波动率及定期分红和配股时美式看涨期权的定价[ J]. 应用概率统计, 2005, 21( 1): 81-87.
[ 8] Dav id App lebaum. L?vy Processes and S to chastic Ca lcu lus[M ]. Cam bridge: Cam bridgeUn iv ers ity Press, 2004.

相似文献/References:

[1]陈 波,刘国祥,石燕燕.Merton推广模型的算术平均亚式期权定价[J].南京师范大学学报(自然科学版),2010,33(04):23.
 Chen Bo,Liu Guoxiang,Shi Yanyan.Pricing of Arithmetic Average Asian Options Based on Generalized Merton Model[J].Journal of Nanjing Normal University(Natural Science Edition),2010,33(03):23.

备注/Memo

备注/Memo:
通讯联系人: 杨纪龙, 副教授, 研究方向: 随机积分和期权定价. E-m ail:yang jilong@ n jnu. edu. cn
更新日期/Last Update: 2013-05-05