不变方差弹性三值期权定价

不变方差弹性(CEV)模型可以阻止Black-Scholes模型中波动率微笑的实证偏差.为此,用CEV模型描述标的资产价格运动,并按照非中心x2分布余函数导出了三值期权的解析定价公式.在此基础上,提出了一种计算非中心x2分布余函数的简单有效算法.指出当计算精确解有问题时,提供该分布余函数近似值可以精确估计上述导出解析定...

Pricing the constant elasticity of variance trinary option

The constant elasticity of variance (CEV) model can prevent the empirical bias exhibited by the Black-Scholes model such as the volatility smile. In this article, CEV model was used to describe the underlying asset price dynamics. The analytical pricing formula for the trinary option was derived in terms of complementary noncentral chi-square distribution function. A simply and efficient algorithm for computing this complementary distribution function was presented. Approximation to this complementary distribution function was provided to estimate accurately the result of the pricing formula derived above when the computation of the exact solution is problematic. This study will pave a new way to evaluate the class of the exotic option in the time dependent constant elasticity of variance.