二次扩散期权定价问题的Fourier变换分析

Fourier Transform Analysis for Option Pricing of Quadratic Diffusions

本文运用Fourier变换 ,对具有二次扩散形式的一类欧式看涨期权定价问题进行分析 ,扩展了Duffie[1] 等对于仿射扩散期权定价问题的变换分析结果。本文的结果还可应用到其他资产定价问题。

In this paper, we give a Fourier transform analysis to the call option pricing models of quadratic diffusions. This extends the basic results of Duffie, Pan, and Singleton's . They have given transform analysis to asset pricing of affine diffusions. The results can be used to other asset pricing problems as well.