摘要
论证了当基础资产遵循不变方差弹性 (constantelasticity of variance,CEV)过程时障碍期权的定价问题 ,构建了一个三项式模型来对 CEV过程进行近似化并利用其为障碍期权定价 .就标准期权而言 ,CEV与 Black- Scholes模型之间的相关量相对较小 .结论是 ,拥有一个准确的模型描述对依赖极限期权比标准期权要重要得多 .
This paper examines the pricing of barrier options when the underlying asset follows the constant elasticity of variance (CEV) process. We construct a trinomial method to approximate the CEV process and use it to price barrier options, and demonstrate the accuracy of our approach for different parameter values of the CEV process. We find that the prices of barrier options for the CEV process deviate significantly from those for lognormal process. For standard options, the corresponding differences between the CEV and Black Scholes models are relatively small. The result model specification for options depends an extrema than for standard option.
出处
《管理科学学报》
CSSCI
2001年第5期13-20,共8页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目 ( 79970 0 15 )
湖南省自然科学基金资助项目 ( 99JJY2 0 0 6 5 ) .
关键词
CEV过程
障碍期权
期权定价
三项式模型
标准期权
the constant elasticity of variance (CEV) process
barrier options
pricing options
trinomial method
standard options
