| 带跳随机波动率模型的美式期权及美式障碍期权定价 |
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| 引用本文： | 薛广明,林福宁. 带跳随机波动率模型的美式期权及美式障碍期权定价[J]. 吉林大学学报(理学版), 2020, 58(5): 1119-1129. DOI: 10.13413/j.cnki.jdxblxb.2020013 |
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| 作者姓名： | 薛广明 林福宁 |
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| 作者单位： | 广西财经学院 信息与统计学院, 南宁 530003 |
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| 基金项目： | 广西高校中青年教师科研基础能力提升项目 |
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| 摘 要： | 用两点G-J法和三点G-J法, 在跳扩散随机波动率模型下对百慕大期权进行离散化处理, 给出美式障碍期权和美式期权定价, 并对其进行数值计算和结果分析.
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| 关 键 词： | 跳扩散模型 随机波动率 Girsanov测度变换 障碍期权 Fourier反变换 |
| 收稿时间： | 2020-01-08 |
Pricing of American Options and American Barrier Options with Jump Stochastic Volatility Model |
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| XUE Guangming,LIN Funing. Pricing of American Options and American Barrier Options with Jump Stochastic Volatility Model[J]. Journal of Jilin University: Sci Ed, 2020, 58(5): 1119-1129. DOI: 10.13413/j.cnki.jdxblxb.2020013 |
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| Authors: | XUE Guangming LIN Funing |
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| Affiliation: | School of Information and Statistics, Guangxi University of Finance and Economics, Nanning 530003, China |
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| Abstract: | We used two-point G-J method and three-point G-J method to discretize Bermuda option based on the jump diffusion stochastic volatility model, gave the pricing of American barrier option and American option, and gave the numerical calculation and the result analysis. |
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| Keywords: | jump diffusion model stochastic volatility Girsanov measure transformation barrier option Fourier inverse transform |
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