| 随机利率下双指数跳扩散模型欧式期权定价 |
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| 引用本文： | 张素梅. 随机利率下双指数跳扩散模型欧式期权定价[J]. 辽宁工程技术大学学报(自然科学版), 2011, 30(4): 627-630. DOI: 21-1379/N.20110818.2326.012 |
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| 作者姓名： | 张素梅 |
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| 作者单位： | 西安交通大学理学院,陕西西安710049;西安邮电学院理学院,陕西西安710121 |
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| 基金项目： | 国家自然科学基金资助项目(10771166); 陕西省教育厅基金资助项目(11JK0491) |
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| 摘 要： | 为了合理刻画股价实际变化趋势,将利率风险引入双指数跳扩散模型,建立了随机利率和双指数跳扩散组合模型,然后在组合模型下利用鞅方法、Fourier逆变换和Feynman-Kac定理给出了欧式看涨期权价格的闭式解,推广了Kou在2002年提出的模型及期权定价问题,所提模型及方法有利于资产收益的经验分析,同时为公司信用风险管理提供理论依据。
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| 关 键 词： | 随机利率 双指数跳扩散过程 期权定价 Fourier变换 Fourier逆变换 利率风险 组合模型 资产收益 |
European option pricing based on double exponential jump-diffusion process model with stochastic interest rate |
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| ZHANG Sumei. European option pricing based on double exponential jump-diffusion process model with stochastic interest rate[J]. Journal of Liaoning Technical University (Natural Science Edition), 2011, 30(4): 627-630. DOI: 21-1379/N.20110818.2326.012 |
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| Authors: | ZHANG Sumei |
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| Affiliation: | ZHANG Sumei1,2(1.College of Sciences,Xi'an Jiaotong University,Xi'an 710049,China,2.School of Sciences,Xi'an College of Post and Telecommunications,Xi'an 710121,China) |
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| Abstract: | This paper aims to provide a rational model which shows the reality of stock return volatility.By introducing interest rate risk into double exponential jump-diffusion model,an integrated model of stochastic interest rate and double exponential jump-diffusion process was established.Based on the proposed integrated model,a closed-form solution for European call option was derived using Martingale method,Fourier inversion transform formula and Feynman-Kac theorm.Also,the model and corresponding option pricin... |
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| Keywords: | stochastic interest rate double exponential jump-diffusion process option pricing Fourier transform Fourier inversion transform interest rate risk integrated model assets return |
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