随机波动率与跳扩散组合模型的双币种期权定价  

Valuation on Quanto Options in Jump-Diffusion Model with Stochastic Volatility

作　　者：韦铸娥 奚欢 何家文[3] WEI Zhu-e;XI Huan;HE Jia-wen(College of Information Engineering, Nanning University, Nanning, Guangxi 530200, China;School of Statistics, Shanghai University of Finance and Economics Zhejiang College, Jinhua 321000, China;School of Foundational Education, Nanning University, Nanning 530200, China)

机构地区：[1]南宁学院信息工程学院,广西南宁530200 [2]上海财经大学浙江学院统计系,浙江金华321000 [3]南宁学院公共教学部,广西南宁530200

出　　处：《数学的实践与认识》2019年第11期306-312,共7页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11461008);浙江省教育厅科研项目(Y201738176);广西高校中青年教师基础能力提升项目(2015C436);南宁学院校级科研项目(2018XJ44)

摘　　要：在股价和汇率满足随机波动率与跳扩散组合模型下应用半鞅Ito公式、多维随机变量的联合特征函数、Girsanov测度变换以及Fourier反变换等随机分析技巧给出了双币种欧式期权价格的封闭式解,并利用数值实例分析了波动参数对期权价格的影响,结果表明:波动率参数对期权价格有显著的影响作用.As the dynamic stock price and exchange rate satisfying the combined jump-diffusion model with stochastic volatility, by using stochastic analysis approaches including the semi-martingale Ito formula, multivariate characteristic functions, Girsanov theorem and Fourier inverse transform technique, the explicit formulas for the Quanto European call options are obtained. Numerical results show that the volatility factors have significant impacts on options values.

关 键 词：双币种期权 跳扩散模型 随机波动率 

分 类 号：F831.53[经济管理—金融学] O211[理学—概率论与数理统计]