混合指数跳扩散模型下远期生效期权的定价
PDF下载 (288)林涵彬,苏小囡,王 伟.混合指数跳扩散模型下远期生效期权的定价[J].宁波大学学报(理工版),2019,32(5):104-109.DOI:
LIN Hanbin,SU Xiaonan,WANG Wei.Pricing of forward starting options using the mixed-exponential jump diffusion model[J].Journal of Ningbo University(Natural Science & Engineering Edition),2019,32(5):104-109.DOI:
| Title: | Pricing of forward starting options using the mixed-exponential jump diffusion model |
| 作者: | 林涵彬, 苏小囡, 王 伟 |
| Author(s): | LIN Hanbin, SU Xiaonan, WANG Wei |
| 关键词: | 跳扩散模型; 拉普拉斯变换; 平价关系 |
| Keywords: | jump diffusion model; Laplace transform; parity relationship |
| 分类号: | O211.9 |
| 文献标识码: | A |
| 摘要: | 分别研究了市场利率为常数和随机利率时混合指数跳扩散模型下远期生效期权的定价问题. 假定风险资产价格满足混合指数跳扩散过程, 通过测度变换, 逆拉普拉斯变换和无套利定价原理得到了该模型下远期生效看涨期权的定价公式. 此外, 利用看涨-看跌期权的平价关系得到了远期生效看跌期权的价值. |
| Abstract: | The pricing of forward starting options using the mixed-exponential jump diffusion model is studied with the market interest rate being constant and stochastic respectively. Based on the assumption that the risk asset price dynamic follows the mixed-exponential jump diffusion process, and by using the measure of change, the inverse Laplace transform, and the non-arbitrage pricing principle, the pricing formulas of the forward starting call option are obtained. Furthermore, the price of forward starting put options is obtained by applying the call-put parity relationship. |
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| 备注/Memo: | 收稿日期: 2018－05－23. 宁波大学学报（理工版）网址: http://journallg.nbu.edu.cn/ 基金项目: 浙江省自然科学基金（LY17G010003）; 江苏省高校自然科学基金（14KJB110014）; 江苏省金融工程重点实验室开放基金（NSK2015-12）. 宁波大学学报（理工版）网址：http://journallg.nbu.edu.cn/第一作者: 林涵彬（1993－）, 男, 浙江宁波人, 在读硕士研究生, 主要研究方向: 金融数学. E-mail: 2901445710@qq.com *通信作者: 王伟（1982－）, 男, 安徽安庆人, 博士/副教授, 主要研究方向: 金融数学. E-mail: wangwei2@nbu.edu.cn |
