基于非仿射随机波动率模型的欧式认股权证的定价  

Pricing of the European Warrants Based on the Radiation Stochastic Volatility Model

作　　者：张霞[1] 

机构地区：[1]新疆财经大学应用数学学院,新疆乌鲁木齐830012

出　　处：《唐山师范学院学报》2014年第5期11-13,共3页Journal of Tangshan Normal University

摘　　要：利用快速傅里叶变换(FFT)方法推导出了标的资产服从非仿射随机波动率模型下的欧式认股权证定价公式。给出了非仿射随机波动率模型以及特征函数,应用傅里叶变换及其逆变换推导出了欧式认股权证的定价公式。By applying the fast Fourier transform （FFT） method, the European warrants pricing formulae was deduced on the base of the non-affine stochastic volatility models which underlying asset followed. Firstly, the non-affine stochastic volatility model is given as well as the characteristic function. Secondly, application of Fourier transform and its inverse transform derived the pricing formula of European warrants was given.

关 键 词：欧式认股权证定价 非仿射随机波率模型 快速傅里叶变换 

分 类 号：F830.9[经济管理—金融学]