摘要
为合理刻画股价实际变化趋势,在双指数跳扩散模型中通过允许利率随机和波动率随机建立了合理的市场模型;然后利用鞅方法推导了随机利率、随机波动率下双指数跳扩散模型的欧式期权定价的闭式解;最后通过数值模拟分析了模型的主要参数对期权定价的影响.数值结果显示:所提模型能够较好地刻画股价实际变化趋势,股票收益和波动率负相关,随机利率对短期到期期权影响几乎可以忽略,而对长期到期期权价格影响显著.
To describe the real volatility of stock returns,this paper provides a rational model through allowing for stochastic interest rate and stochastic volatility rate in the double exponential jump-diffusion model.Subsequently,a closed-form solution for European call option is derived under the proposed model.Furthermore,the effects of main parameters on option prices are analyzed using numerical simulation.Simulations show that the model is suitable for modeling real-market changes.Stock returns are negatively correlated with volatility and stochastic interest rate has a significant impact on long term option values.
出处
《辽宁工程技术大学学报（自然科学版）》
CAS
北大核心
2012年第3期421-424,共4页
Journal of Liaoning Technical University (Natural Science)
基金
国家自然科学基金资助项目(11171266)
陕西省教育厅基金资助项目(11JK0491)
陕西省教育厅基金资助项目(11JK0493)
