随机波动率跳扩散模型的期权定价  

Stochastic Volatility Jump Diffusion Model for Option Pricing

作　　者：杨雄[1] 

机构地区：[1]娄底职业技术学院财经贸易系,湖南娄底417000

出　　处：《淮阴师范学院学报（自然科学版）》2015年第4期295-302,共8页Journal of Huaiyin Teachers College;Natural Science Edition

摘　　要：在赫斯顿、贝特、约翰内斯和波尔森等提出的资产价格模型的基础上,给出了一个均值回复平方根的跳扩散过程模型,并通过Dynkin公式,得到了期权价值所满足的PDE方程,进一步得到解析解,并利用风险中性概率P1,P2所满足的微分方程进行验证,最后指出可通过特征函数的逆变换来计算解析解.这个解对跳扩散期权定价有重要的作用,为进一步研究此类期权定价的性质有一定的应用价值.Heston was presented in this paper,Bert,Johannes and paulson proposed,on the basis of asset price model,presents a jump diffusion process model of mean reversion square root,and through Dynkin formula,obtained the option value of the PDE equations,further analytical solution,and by using the risk neutral probability satisfy the differential equation for validation,finally it is pointed out that by inverter for calculating analytic solution of characteristic function. The solution has important effect to jump diffusion option pricing,in order to further study the nature of such option pricing has certain application value.

关 键 词：跳扩散模型 随机波动率 特征函数 看跌期权 风险中性概率 

分 类 号：O29[理学—应用数学]