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基于留数定理的固定收益期权定价公式的简化 被引量：1

Simplification of the Option Pricing Formula of Fixed Income Based on the Residues Theorem
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摘要 在期权定价公式的傅立叶变换积分公式中,运用留数定理将公式中的两个积分式子化简成一个被积函数衰减较快的积分函数式,从理论上提高了计算效率,缩短了计算时间,为投资者快速计算期权价值节约了时间. In the integral formula of Fourier transforms of option pricing formula, by using residues theorem two integrations were simplified into a single numerical integration which has a faster rate of decay. In theory the simplification improved computational efficiency, shortened the computing time and saved time for investors to calculate option value.
作者 刘静 彭选华
机构地区 重庆文理学院数学与统计学院 重庆大学经济与工商管理学院
出处 《重庆文理学院学报（自然科学版）》 2008年第6期6-9,共4页 Journal of Chongqing University of Arts and Sciences
关键词 傅立叶变换 留数定理 期权定价公式 固定收益 Fourier transforms residues theorem option pricing formula fixed income
分类号 O213 [理学—概率论与数理统计]
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参考文献9

  • 1[1]Heston S.A Closed-form Solution of Options with Stochastic Volatility with Applications to Bond and Currency Options[J].Review of Financial Studies,1993,6:327-343.
  • 2[2]Bates D.Jumps and Stochastic Volatility:Exchange Rate Processes Implicit in Deutsche Mark Options[J].Review of Financial Studies,1996,9:69-107.
  • 3[3]Bakshi G,C Cao,Z Chen.Empirical Performance of Alternative Option Pricing Models[J].Journal of Finance,1997,52:23-49.
  • 4[4]Duffie D,J Pan,K Singleton.Transform Analysis and Asset Pricing for Affine Jump-Diffusions[J].Econometrica forthcoming,1999.
  • 5[5]Chacko G,S Das.Average Interest[J].Working Paper,Harvard Business School,2002.
  • 6[6]Ju N.Fourier Transformation,Martingale and the Pricing of Average-Rate Derivatives[D].Working Paper.University of Maryland,2003.
  • 7[7]Pan J.Integrated Time-Series Analysis of Spot and Options Prices[D].Working Paper,Stanford University,1999.
  • 8[8]Mukarram Attari.Option Pricing Using Fourier Transforms:A Numerically Efficient Simplification[D].Working Paper,Charles River Associates,Inc.,2004.
  • 9[9]Joseph Stampfli,Victor Goodman.The Mathematics of Finance Modeling and Hedging[M].China Machine Press,2004.

同被引文献5

  • 1Kolbig K S. An infinite integral of Bessel function[ J]. Comp. Appl. Math, 1996,67:181 - 183.
  • 2Abramowitz M, Stegun I A. Handbook of mathematical function with fornulas, graphs, and mathematical tables ( The 9th printing with corrections ) [ M ]. New York : Dover, 1972.
  • 3Watson G N. A treatise on the theory of Bessel functions [ M ]. Cambridge : Univ. Press, 1966.
  • 4Gradshteyn I S, Ryzhik I M. Table of integrals, series, and products ( The 5th ed) [ M ]. New York : A. Jeffrey, Ed. Academic Press, 1994.
  • 5Mcphedran R C, Dawes D H, Scott T C. On a Bessel function integral [ J ]. AAECC, 1992 (2) ..207 - 216.

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重庆文理学院学报（自然科学版）
2008年 第6期

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