随机波动率下跳扩散模型的远期生效期权

Pricing forward Start Options under a Double Exponential Jump-diffusion Model with Stochastic Volatility

在股价满足一类随机波动率与双指数跳扩散组合的风险模型下,考虑了标准远期生效期权以及基于股价回报率的远期生效的定价。应用条件期望的性质及远期生效期权的收益结构,得到了该类产品价格的表达式和Δ对冲策略。

The values for both an standard forward start option and forward start option on the return of the underlying stock are considered under a combined risk model incorporating double exponential jumpdiffusion process and stochastic volatility. Using the properties of conditional expectation and the payoff structure of the forward start option,both the option price expression and its A hedging strategy are obtained.