双混合分数Heston模型及回望期权模拟分析  

Double Mixture Fraction Heston Model andRetrospect Option Simulation Analysis

作　　者：柴婧婧 汪育兵 Chai Jingjing;Wang Yubing(School of Statistics,Lanzhou University of Finance and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学统计学院,甘肃兰州730020

出　　处：《甘肃科学学报》2020年第2期16-20,46,共6页Journal of Gansu Sciences

基　　金：国家自然科学基金项目(71561017)。

摘　　要：金融实践证明经典Heston模型不能很好地拟合短期期权。首先通过构建双混合分数Heston模型,得到双混合分数Heston模型满足的随机微分方程解的存在性和唯一性,其次对该模型下的波动过程和股票价格过程离散化,最后基于Monte Carlo法对回望期权波动率路径和股票价格路径进行模拟分析。Financial practice proves that the classical Heston model is unable to perfectly fit short-term options.This paper firstly obtained the existence and uniqueness of the solution to stochastic differential equation satisfied by the double mixture fraction Heston model by constructing this model,and then discretized the fluctuation process and the stock price process under this model,and finally carried out simulation analysis of the retrospect option volatility path and stock price path based on Monte Carlo method.

关 键 词：双混合分数Heston模型 欧拉离散化 回望期权 MONTE CARLO模拟 

分 类 号：F226[经济管理—国民经济]