摘要
本文研究了期货期权和裂解价差期权的定价问题.利用Fourier变换方法,在ASub CIR模型的基础上,获得了单因素期货期权,两因素期货期权以及价差期权价格的表达式,最后用C++和MATLAB计算出期权的价格,解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题.
In this paper,we study the problem of pricing future options and crack spread options.By using Fourier transform,we get the pricing formula of one-factor future options,two-factor future options and spread options under ASub CIR model.Finally,we show that the price of options can be obtained by C＋＋ and MATLAB,and the problems of slowness and unstablity brought by eigenfunction expansion approach are also solved.
出处
《数学杂志》
CSCD
北大核心
2016年第4期841-850,共10页
Journal of Mathematics
基金
国家自然科学基金资助(11371340)
