基于Hull-White随机波动率模型的算术平均亚式期权Monte-Carlo定价  

Based on the Model of Hull-White Stochastic Volatility Model the Arithmetical Average Suboption Monte Carlo Pricing

作　　者：梁艳[1] 王玉文[1] 

机构地区：[1]哈尔滨师范大学

出　　处：《哈尔滨师范大学自然科学学报》2017年第5期1-4,共4页Natural Science Journal of Harbin Normal University

基　　金：国家自然科学基金资助项目(11471091)

摘　　要：在Black-Schole期权定价模型中,假设股票红利q、无风险利率r及股票收益的标准差σ都是常数.然而在实际的交易市场,波动率却是随机变化的,而非常数.因此,把波动率考虑到期权定价公式中是十分必然的.在建立随机波动率定价模型中,假设波动率是一个随机变量,以亚式期权为研究对象,让随机波动率满足Hull-White模型,对算术平均亚式期权进行Monte-Carlo模拟定价.In the classic Black-Schole option pricing model,the standard deviation of the risk-free interest rate r,stock dividend q and stock returns is the rational assumption of the constant. But in the actual financial markets,volatility is a random variable,not a constant of rationalization. Therefore,in order to solve this problem,volatility is assumed to be stochastic process,stochastic volatility option pricing model is established,based on the Asian option as the research object,to get random volatility to satisfy the Hull-White model,to the arithmetic average suboptions for the Monte Carlo simulation to set the price.

关 键 词：HULL-WHITE模型 亚式期权 Monte-Calor模拟 

分 类 号：O29[理学—应用数学]