定时器期权定价的Fourier-Cosine方法

A Fourier-Cosine Method for Pricing Timer Options

定时器期权是有着不确定到期日的障碍类型期权。根据标的资产的累计实现方差达到预指定的水平就强制执行的特性,在随机波动模型(Heston model)下,提出Fourier-cosine方法定价有限到期日定时器期权,得到定价表达式。数值结果说明该方法的精确性。

Timer options have an uncertain expiration date of barrier style options. The finite-maturity timer option expires when the accumulated realized variance of the underlying asset has reached a pre-specified level. We construct the Fourier-cosine method for pricing discrete timer options under Heston model. Numerical results illustrate the accuracy of the Fourier-cosine method.