非线性Black-Scholes模型下Bala期权定价

The pricing of Bala options under the nonlinear Black-Scholes model

在非线性Black-Scholes模型下,研究了Bala期权定价问题.首先利用双参数摄动方法,将Bala期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了Bala期权的近似定价公式.最后利用Green函数分析了近似结论的误差估计.

In this paper, the pricing problems of Bala options are studied under the nonlinear Black-Scholes model. Firstly, the partial differential equations for the Bala options are transformed into a series of parabolic equations with constant coefficients by the perturbation method of doubleparameter. Secondly, the approximate pricing formulae of the Bala options are given by solving those parabolic equations with constant coefficients. Finally, the error estimates of the approximate solutions are given by using Green function.