次分数跳-扩散过程下亚式期权定价模型的数值解

A numerical solution of the pricing model of Asian options under sub-fractional jump-diffusion process

在次分数Ho-Lee随机利率模型下,利用Δ对冲原理,建立了次分数跳-扩散过程下,带有交易费和红利支付的几何平均亚式期权定价的偏微分方程模型;通过变量代换将定价模型化为Cauchy问题;利用有限差分法和复合梯形法给出了定价模型的数值解,并通过一个算例检验了算法设计的有效性.

Under the assumption of the sub-fractional Ho-Lee stochastic interest rate model, this research firstly uses the delta hedging principle and establishes the partial differential equation of geometric average Asian options under the sub-fractional jump-diffusion process with transaction costs and dividends. Secondly, the pricing model is simplified to the Cauchy problem by using the variable substitution. Finally, a numerical solution of the pricing model is given by using the finite difference method and the composite trapezoid method. An example is also given to verify the effectiveness of the algorithm design.