基于CEV扩散模型的领子期权定价

Pricing Collar Option Based on CEV Diffusion Model

在等价鞅测度下，利用风险中性定价方法，推导出标的资产服从CEV扩散模型下领子期权的解析定价公式．针对公式特点，借助非中心Х^2分布余函数近似算法提供了便于实际应用的数值模拟方法；并讨论了CEV模型中的参数τ，q，δ依赖时间下定价公式的拓广形式．

Under the equivalent martingalemeasure and risk neutral pricing method, it is derived that the price of collar option whose underlying asset follows the constant elasticity of variance（CEV）model. Then, in order to facilitate the computation of the pricing formula obtained, we develops a simple and efficient method of numerical simulation with help of prox- imate algorithm for computing noncentral chi-square distribution complementary function. At last we talk about the above mentioned pricing formula generalization when τ, q, and δ in the CEV model are time-dependent parameters.