引用本文:韩婵, 陈东立.非线性Black-Scholes模型下利差期权定价[J].西南师范大学学报(自然科学版),2019,44(7):110~116
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非线性Black-Scholes模型下利差期权定价
韩婵, 陈东立1,2
1. 西安建筑科技大学 华清学院, 西安 710043;2. 西安建筑科技大学 理学院, 西安 710043
摘要:
研究了原生资产价格遵循非线性Black-Scholes模型时的利差期权定价问题.利用扰动理论中单参数摄动展开方法,给出了利差期权的近似定价公式.最后,结合Feyman-Kac公式分析了近似定价公式的误差估计问题,结果表明近似解一致收敛于相应期权价格的精确解.
关键词:  非线性Black-Scholes模型  障碍期权  近似定价公式  误差分析
DOI:10.13718/j.cnki.xsxb.2019.07.017
分类号:F830.9;O211.6
基金项目:贵州省科技厅科学技术基金项目(黔科合J字[2015]2076号);贵州省教育厅青年科技人才成长项目(黔教合KY字[2016]168号).
Performance Options' Pricing Under Nonlinear Black-Scholes Model
HAN Chan, CHEN Dong-li1,2
1. Huaqing College, Xi'an University of Architecture and Technology, Xi'an 710043, China;2. School of Science, Xi'an University of Architecture and Technologe, Xi'an 710043, China
Abstract:
In this text, the pricing problems of performance options are discussed under the condition that the price of underlying asset follows the nonlinear Black-Scholes model. The author uses the perturbation method of single-parameter to obtain asymptomatic formulae of performance options pricing problems. Finally, error estimates of these asymptotic solutions are illustrated by using the Feymann-Kac formula in which the results indicate that the asymptotic solutions uniformly converges to its exact solutions.
Key words:  nonlinear Black-Scholes model  barrier options  asymptomatic pricing formulae  error estimates
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