随机波动率模型下欧式回望期权定价

Valuation on European Lookback Option under Stochastic Volatility Model

本文考虑标的股价满足Hull-White随机波动率模型的浮动执行价格的欧式回望期权定价。应用Taylor展开技术,获到了回望看涨期权价格及其Δ对冲的近似显示解公式。数值结果表明,近似显示解公式与Monte Carlo模拟法相比具有很好的准确性和有效性,且易于实际应用。最后,利用数值实例分析了期权价格和Δ对冲策略受波动率模型中各主要参数的影响。

The valuation on European lookback option with floating strike price is considered under theHull-White stochastic volatility model. Using the Taylor series expansion technique, the approximatedexplicit formulas for the price and delta value of the European lookback option are obtained. Numericalexperiments show that the proposed explicit formula performs accurately and efficiently compared withMonte Carlo simulation, and is easy to implement in practice. Finally, the impacts of the key parametersin the volatility process on both the option price and its delta value are analyzed through numericalexamples.