摘要
在假设标的资产价格的波动率是一个快递均值回复(OU)过程的函数的条件下,导出相应的俄式期权满足的偏微分方程,并利用Taylor级数展开得到一组Poisson方程,求解这些方程,得到非完全市场下俄式期权的价格的近似表达式.
In this paper,we will establish a model assuming that the volatility of the underlying risky asset price is a function of the fast mean-reverting Ornslein-Uhren-beck process.Then,we can derive a partial differential equation to price a Russian option according to it.Furthermore we will derive an approximate solution of this equation as the price formula of the Russian option under the incomplete market by using Taylor series expansion and the methods of solving Poisson equation.
出处
《厦门大学学报（自然科学版）》
CAS
CSCD
北大核心
2010年第5期602-607,共6页
Journal of Xiamen University：Natural Science
基金
福建省自然科学基金(2006J0225
Z0511004)
关键词
随机波动率
快速均值回复
非完全市场
俄式期权
stochastic volatility
fast mean-reverting
incomplete market
Russian option
