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.
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.
作者
韩婵
陈东立
HAN Chan;CHEN Dong-li(Huaqing College,Xi'an University of Architecture and Technology,Xi'an 710043,China;School of Science,Xi'an University of Architecture and Technologe,Xi'an 710043,China)
出处
《西南师范大学学报（自然科学版）》
CAS
北大核心
2019年第7期110-116,共7页
Journal of Southwest China Normal University(Natural Science Edition)
基金
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)
