随机利率和随机波动率模型下的期权定价
首发时间:2011-03-11
摘要:随机利率模型下的期权定价和随机波动率模型下的期权定价研究已经非常成熟,相应的期权定价公式也已经给出。本文在此基础上,采用风险对冲方法研究同时考虑利率和波动率的随机性时的期权定价问题,给出了此时期权价值所满足的随机微分方程,并对研究前景作了展望。
For information in English, please click here
Option pricing on stochastic interest rate and volatility
Abstract: Stochastic interest rate model of option pricing and stochastic volatility option pricing model are already very mature, and the corresponding option pricing formula have also been given. On this basis, the option pricing problem considering the randomness of both interest rate and volatility is studied using risk hedging method in this paper, and the stochastic differential equation which option value satisfy is deduced . Some prospects of the research in the future are given.
Keywords: stochastic interest stochastic volatility option pricing
基金:
论文图表:
引用
No.4414387574115129****
同行评议
共计0人参与
勘误表
随机利率和随机波动率模型下的期权定价
评论
全部评论0/1000