随机波动率跳扩散模型的双币种任选期权定价  

Valuation on Quanto Chooser Option in a Stochastic Volatility Model with Jump Risks

作　　者：韦铸娥 何家文[2] WEI Zhu-e;HE Jia-wen(College of Information Engineering,Nanning University,Nanning 530200,China;School of Foundational Education,Nanning University,Nanning 530200,China(1.College of Information Engineering,Nanning University,Nanning 530200,China)(2.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]南宁学院公共教学部,广西南宁530200

出　　处：《数学的实践与认识》2020年第12期94-101,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11461008);广西高校中青年教师科研基础能力提升项目(2019KY0940);南宁学院教授培育工程项目(2019JSGC11)。

摘　　要：在随机波动率跳扩散框架下分析了双币种任选期权定价行为.运用偏微分方程,傅里叶逆变换等方法,得到双币种任选期权拟闭型定价公式.最后运用数值模拟,分析了跳跃波动对期权价格影响.This paper considers the pricing of the Quanto Chooser Option under a stochastic volatility and jump-diffusion frame.Firstly,a semi-analytical pricing formula for the price of option is attained by means of the partial differential equation and Fourier inversion transform.Finally,we analyzed the effect that jumps coefficient on the prise through numerical simulation.

关 键 词：随机波动率 跳扩散模型 双币种任选期权 傅里叶逆变换 

分 类 号：F224[经济管理—国民经济] F830.9