摘要
针对障碍期权的定价问题,建立具有随机波动率和有交易费用的障碍期权的定价模型。在无套利定价原则和风险中性定价原则下推导出期权价格方程。采用有限差分法求解该方程,获得了期权价格的数值解。并通过数值试验的方法分析和讨论了模型中部分参数对期权价格的影响。
In view of the problem of pricing barrier option, the model is established under the condition of stochastic volatility and transaction cost. Under the principle of no arbitrage pricing and the principle of risk neutral pricing, the price equation of option is derived. The finite difference method for solving the equation is given, and the numerical solution of the option price is obtained. And the influence of some parameters on the option price is analyzed and discussed by numerical experiments.
出处
《价值工程》
2016年第7期45-47,共3页
Value Engineering
基金
西京学院科研基金资助项目(XJ140117)
国家自然科学基金资助项目(11271297)
陕西省教育厅专项科研计划基金资助项目(2013JK0592
15JK2183
15JK2134)
关键词
随机波动率
自由边界
有限差分
美式期权
stochastic volatility
free boundary
finite difference
American options
