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跳扩散模型中随机利率和随机波动下期权定价 被引量：2

Option pricing in jump-diffusion model with stochastic volatility and stochastic interest rate
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摘要 为合理刻画股价实际变化趋势,在双指数跳扩散模型中通过允许利率随机和波动率随机建立了合理的市场模型;然后利用鞅方法推导了随机利率、随机波动率下双指数跳扩散模型的欧式期权定价的闭式解;最后通过数值模拟分析了模型的主要参数对期权定价的影响.数值结果显示:所提模型能够较好地刻画股价实际变化趋势,股票收益和波动率负相关,随机利率对短期到期期权影响几乎可以忽略,而对长期到期期权价格影响显著. To describe the real volatility of stock returns,this paper provides a rational model through allowing for stochastic interest rate and stochastic volatility rate in the double exponential jump-diffusion model.Subsequently,a closed-form solution for European call option is derived under the proposed model.Furthermore,the effects of main parameters on option prices are analyzed using numerical simulation.Simulations show that the model is suitable for modeling real-market changes.Stock returns are negatively correlated with volatility and stochastic interest rate has a significant impact on long term option values.
作者 张素梅
机构地区 西安邮电学院理学院
出处 《辽宁工程技术大学学报（自然科学版）》 CAS 北大核心 2012年第3期421-424,共4页 Journal of Liaoning Technical University (Natural Science)
基金 国家自然科学基金资助项目(11171266) 陕西省教育厅基金资助项目(11JK0491) 陕西省教育厅基金资助项目(11JK0493)
关键词 随机波动率 随机利率 双指数跳扩散过程 期权定价 Fourier逆变换 特征函数 Feynman-Kac定理 鞅方法 stochastic volatility rate stochastic interest rate double exponential jump-diffusion process option pricing Fourier inversion transform
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献15

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二级参考文献26

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共引文献9

同被引文献19

  • 1郭培栋,张寄洲.随机利率下双币种期权的定价[J].上海师范大学学报（自然科学版）,2006,35(6):25-29. 被引量：10
  • 2马奕虹,邓国和.股票价格服从跳扩散过程的双币种期权定价[J].广西师范大学学报（自然科学版）,2007,25(3):52-55. 被引量：3
  • 3PROTFER P.Stochastic integration and differential equations[M]. Springer- Verlag,New York.1991.
  • 4KOU S.A jump-diffusion model for option prieing[J].Management Science, 2002,48(8): 1086-1101.
  • 5SEPP A.Analyfical pricing of double-barrier options under a double-exponential jump diffusion process:Applications of Laplace transform[J].International Journal of Theoretical and Applied Finance, 2004,7(2): 151 - 175.
  • 6CAI Ni,CHEN N,WAN X W.Pricing double-barrier options under a flexible jump diffusion model[J].Operations Research Letters,2009,37(3): 163-167.
  • 7FUH C D,LUO S F,YEN J F.Pricing discrete path-dependent options under a double exponential jump-diffusion model[J].Joumal of Banking and Finanee,2013,37(8):2 702-2 713.
  • 8ZI-IANG Sumei.European option pricing based on double exponential jump-diffusion process model with stochastic interest rate Liaoning Joumalof TechnicalUniversity(Natural Science),2011,30(4):627-630.
  • 9ZHANG Sumei.Option pricing in jump-diffusion model with stochastic volatility and stochastic interest rate[J].Liaoning Journal of Technical University(Natural Science),2012,31(3):421-424.
  • 10CHANG J J,CHEN S N,WANG C C,et al.Barrier caps and floors under the LIBOR market model with double exponential jumps[J].Joumal of Derivatives,2014,21 (4): 7-30.

引证文献2

二级引证文献3

辽宁工程技术大学学报（自然科学版）
2012年 第3期

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