摘要
基于矩匹配技术,研究价差期权定价问题.通过矩匹配技术利用逐段几何布朗运动逼近资产组合,进而推导出Vasiek-Ornstein-Uhlenbeck模型下看涨价差期权和看跌价差期权定价公式.最后,将基于蒙特卡罗模拟技术和矩匹配技术下的两种期权价格进行比较研究,结果表明在保持计算准确性的前提下,后者的计算效率远远高于前者.
The moment matching method is used to study the pricing of spread option.The portfolio is approximated by geometric Brownian motion,and then the pricing formula of Call and Put spread option under Vasiek-Ornstein-Uhlenbeck model are derived.The numerical analysis are performed in both bullish and bearish scenarios,and the results by the moment matching method are compared with the results by Monte Carlo simulation methods.It's shown that the moment matching method is efficient and accurate.
作者
唐京华
张立东
杜子平
Tang Jinghua;Zhang Lidong;Du Ziping(School of Economy and Management,Tianjin University of Science&Technology,Tianjin 300457,China;School of Science,Tianjin University of Science&Technology,Tianjin 300457,China;Center for Financial Engineering and Risk Management,Tianjin University of Science&.Technology,Tianjin 300457,China)
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2023年第3期6-12,共7页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
教育部人文社会科学研究一般项目(19YJCZH251)
天津市哲学社会科学规划项目(TJYJ21-009)。
