基于Bates模型的欧式离散障碍期权定价

在标的资产价格满足Bates模型下讨论离散时间情形的欧式障碍期权定价.应用半鞅It?公式、随机过程在不同时间点上的多维联合特征函数、Girsanov测度变换以及Fourier反变换等随机分析方法，给出离散时间情形的欧式障碍期权价格的封闭式解，并利用数值计算实例分析了波动率参数对障碍期权价格的影响.研究结论对连续时间情形的障碍期权定价或其他路径依赖型期权定价十分有借鉴作用.

Pricing European discrete barrier option based on Bates model

Pricing European discrete barrier option is considered under the Bates model in this paper. Some stochastic analysis approaches such as the semi martingale It? formula， multivariate characteristic functions depending on at least two spot values for different points in time， Girsanov theorem， and Fourier inverse transform technique are used to derive the explicit formulas for the European discrete barrier call option. The impacts of some parameters in stochastic volatility process on the values of the barrier option values are examined by some numerical experiments. It is very useful for pricing the continuously monitored barrier options or other path-dependent options.