<sup id="ic2ca"><div id="ic2ca"></div></sup>
<sup id="ic2ca"></sup>
<rt id="ic2ca"><small id="ic2ca"></small></rt>
在線閱讀 --自然科學版 2020年6期《基于NIG模型的遠期開始期權的定價》
基于NIG模型的遠期開始期權的定價--[在線閱讀]
李翠香, 王夢娜, 王心悅
河北師范大學 數學科學學院, 河北 石家莊 050024
起止頁碼: 467--471頁
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.002
摘要
在標的資產價格服從指數NIG過程的條件下研究遠期開始期權的定價問題.首先通過測度變換,把到期收益的期望轉化成了示性函數的期望,從而得到了用對數收益的特征函數的積分表示的遠期開始看漲、看跌期權的定價公式;其次討論了期權價格對標的資產價格和時間的敏感性.

The Pricing of Forward-start Option Based on NIG Model
LI Cuixiang, WANG Mengna, WANG Xinyue
School of Mathematical Sciences, Hebei Normal University, Hebei Shijiazhuang 050024, China
Abstract:
The aim of this paper is to price forward-start option under the assumption that the underlying asset price follows exponential NIG process.Firstly,the pricing formulas of the forward-start call and put options,in terms of the integral of the characteristic function of log return,are obtained by the help of measure transform.Then,we study the sensitivity of option price to underlying asset price and time.

收稿日期: 2020-07-05
基金項目: 國家自然科學基金(11571089);河北省教育廳基金(ZD2018065, ZD2019053)

參考文獻:
[1]張光平.奇異期權[M].北京:機械工業出版社,2014. ZHANG Guangping.Exotic Options[M].Beijing:China Machine Press,2004.
[2]ZHANG S,SUN Y.Forward Starting Options Pricing with Double Stochastic Volatility,Stochastic Interest Rates and Double Jumps[J].Journal of Computational and Applied Mathematics,2017,325:34-41.
[3]SCHOUTENS W.Levy Processes in Finance:Pricing Financial Derivatives[M].Chichester:John Wiley & Sons,2003.
[4]LI C,LIU H,WANG M,LI W.The Pricing of Compound Option Under Variance Gamma Process by FFT[J].Communications in Statistics:Theory and Methods,2020(1):1-15.doi.10.1080/03610926.2020.1740268
[5]BARNDORFF N O E.Normal Inverse Gaussian Processes and Modelling of Stock Returns[R].Aarhus:Department of Theoretical Statistics,Institute of Mathematics,University of Aarhus,1995.
[6]HANSJORG A,MARTIN P.On Asian Option Pricing for NIG Levy Processes[J].Journal of Computational and Applied Mathematics,2004,172(1):153-168.
[7]FIMA C.Introduction to Stochastic Calculus with Applications[M].北京:人民郵電出版社,2008.
[8]SHEPHARD N G.From Characteristic Function to Distribution Function:A Simple Framework for the Theory[J].Econometric Theory,1991,7(4):519-529.
[9]HULL J C.Options,Futures,and Other Derivatives[M].9th ed.New York:Pearson Education,2014.
916彩票