基于渐进展开法的CEV两值期权定价研究  

Study on the Pricing of Binary Option in the CEV Process Based on Asymptotic Expansion Method

作　　者：闻翠 唐风琴[1] 刘婉璐[1] WEN Cui;TANG Fengqin;LIU Wanlu(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《淮北师范大学学报（自然科学版）》2019年第2期14-18,共5页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽省高校自然科学研究项目(KJ2017A377)

摘　　要：文章借助于渐进展开法求解不变方差弹性(constant elasticity of variance,CEV)过程下两值期权的定价问题,将渐进展开法应用于求解CEV模型下两值期权的定价,通过求解抛物型偏微分方程定解问题,再确定两值期权定价的渐进解,并对求出的渐进解进行收敛性分析,利用数值算例进行验证.研究表明,基于渐进展开法的CEV两值期权定价是有效的,且渐进解很好逼近于标准CEV模型下的二值期权定价渐进解.In this paper,we study the pricing problem of two valued options in the constant elasticity of vari. ance(CEV)process with the help of the gradual progress method.Firstly ,the asymptotic expansion method is applied to the pricing of two valued options in the CEV model.The solution of the parabolic partial differen. tial equation is solved,and then the asymptotic solution of two valued option is determined.The asymptotic so. lution is analyzed,and a numerical example is given to verify it.The results show that the CEV two valued op. tion pricing based on the asymptotic expansion method is effective,and the asymptotic solution is very close to the asymptotic solution of the two valued option pricing under the standard CEV model.

关 键 词：CEV模型 两值期权 渐进展开法 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]