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CIR利率模型的期权定价 被引量：2

PRICING EUROPEAN OPTIONS UNDER JUMP-DIFFUSION MODELS AND STOCHASTIC INTEREST RATES
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摘要 本文讨论了利率服从Vasicek模型时,跳跃扩散模型下欧式期权定价问题.利用特征函数和傅立叶逆反变换,给出了这一模型下欧式看涨期权的定价公式. This paper discusses the pricing of European options when interest rate is stochastic under jump-diffusion models. By the use of Fourier inversion formulas, we get the pricing formulas of this option.
作者 李红 杨向群
机构地区 福州大学管理学院 晓庄学院数学与计算机科学学院
出处 《经济数学》 2007年第3期244-247,共4页 Journal of Quantitative Economics
基金 国家自然科学基金(10571051) 高校博士点基金(20040542006)资助
关键词 跳跃扩散模型 欧式看涨期权 特征函数 傅立叶反变换 Jump-diffusion models,European options,stochastic interest rates,characteristic functions, Fourier inversion formulas.
分类号 O211.6 [理学—概率论与数理统计] F803.9 [经济管理]
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参考文献4

  • 1Doffou Ako and Hilliard and E. Jimmy. Pricing currency options under stochastic interest rotes and jump-diffusion processes[J]. The Journal of Financiol Research, 2001, Winter,565-585.
  • 2Black, F. and P. Karasinski. Bond and option pricing when short rates are lognormal[J].Financial Analysis Journal, 1991, July-August,52-59.
  • 3Heston, S.L,A Closed-form solutions for options with stochastic volatility with applications to bond and currency options [J]. Rev. Financial Stud., 1993,6,327-243
  • 4Shephard, N. G., Numerical integration rules for multivariate inversions[J]. Statistical Comput.Sim.1991,39-46.

同被引文献18

  • 1Hu Y Z, Oksendal B. Fractional White Noise Calculus and Applications to Finance[J]. Infinite Dimensional A- nalysis, Quantum Probability and Related Topics, 2003,6 ( 1 ) : 1-32.
  • 2Necula C. Option Pricing in a Fractional Brownian Motion Environment[J]. Mathematical Reports, 2004, 6 (3) : 259-273.
  • 3Cox J C. The Constant Elasticity of Variance Option Pricing Model[J]. Journal of Portfolio Management, 1996, Special Issue, 15-17.
  • 4Cox J C, Ross S A. The Valuation of Options for Alternative Stochastic Processes[J]. Journal of Financial Eco- nomics, 1976,3 : 145-166.
  • 5Vasicek O. An Equilibrium Characterization of the Term Structure[J]. Journal of Financial Economics, 1977,5 : 177-188.
  • 6Cox J C,Ingersoll J E,Ross S A. A Theory of the Term Structure of Interest Rates[J]. Econornetrica, 1985,53 (2)385-408.
  • 7Heston S. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options[J]. The Review of Financial Studies, 1993,6(2) :327-343.
  • 8Hagan P,D Kumar, A Lesniewski, D Woodward Managing smile risk[J]. Wilmott Magazine, 2002,84(08) : 84- 108.
  • 9Black F,Scholes M. The Pricing of Options and Corporate Liabilities[J]. Journal of Political Economy, 1973, 81(4) :633-654.
  • 10Hull J C. Options,Futures and other Derivatives [M]. Hamilton Printing Company: Pearson Academic. Seventh Edition, 2009.

引证文献2

二级引证文献4

经济数学
2007年 第3期

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