基于留数定理的固定收益期权定价公式的简化 |
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引用本文: | 刘静,;彭选华.基于留数定理的固定收益期权定价公式的简化[J].渝西学院学报(自然科学版),2008(6):6-9. |
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作者姓名: | 刘静 ;彭选华 |
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作者单位: | 重庆文理学院数学与统计学院,重庆大学经济与工商管理学院 |
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摘 要: | 在期权定价公式的傅立叶变换积分公式中,运用留数定理将公式中的两个积分式子化简成一个被积函数衰减较快的积分函数式,从理论上提高了计算效率,缩短了计算时间,为投资者快速计算期权价值节约了时间.
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关 键 词: | 傅立叶变换 留数定理 期权定价公式 固定收益 |
Simplification of the Option Pricing Formula of Fixed Income Based on the Residues Theorem |
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Authors: | LIU Jing PENG Xuan-hua |
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Institution: | LIU Jing1,PENG Xuan-hua1,2 |
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Abstract: | In the integral formula of Fourier transforms of option pricing formula,by using residues theorem two integrations were simplified into a single numerical integration which has a faster rate of decay.In theory the simplification improved computational efficiency,shortened the computing time and saved time for investors to calculate option value. |
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Keywords: | Fourier transforms residues theorem option pricing formula fixed income |
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