Heston模型的欧式任选期权定价与对冲策略  

Pricing European Chooser Options in Heston's Stochastic Volatility Model and Hedging Strategies

作　　者：邓国和[1] 

机构地区：[1]广西师范大学数学科学学院,广西桂林541004

出　　处：《广西师范大学学报（自然科学版）》2012年第3期36-43,共8页Journal of Guangxi Normal University:Natural Science Edition

基　　金：国家自然科学基金资助项目(40675023);广西自然科学基金资助项目(0991091)

摘　　要：本文考虑标的股价满足Heston随机波动率模型的任选期权定价。应用Girsanov变换、多维随机变量的特征函数和Fourier反变换等方法,得到欧式任选期权价格的显示解,进一步利用计算实例分析了任选期权价格和Δ对冲策略受波动率参数的影响。This paper considers the pricing of European chooser options in which the underlying stock＇s price follows the Heston＇s stochastic volatility model.Using the Girsanov transform,multivariate characteristic function and Fourier inverse transform,the closed-form solutions for the price of the European chooser options are obtained.And the impacts of volatility parameters are analized on both the chooser option price and its delta hedging value with numerical examples.

关 键 词：Heston模型 任选期权 Fourier反变换 

分 类 号：O211.9[理学—概率论与数理统计]