期权定价的混合Heston-Merton模型  

Option Pricing under the Hybrid Heston-Merton Model

作　　者：郭志东 汪贤洪 GUO Zhidong;WANG Xianhong(School of Mathematics and Physics,Anqing Normal University,Anqing,Anhui 246133,China)

机构地区：[1]安庆师范大学数理学院,安徽安庆246133

出　　处：《南华大学学报（自然科学版）》2020年第4期89-93,共5页Journal of University of South China：Science and Technology

基　　金：安徽省自然科学青年基金项目(1908085QA29)。

摘　　要：把利率和波动率的随机性都纳入到期权定价模型中,提出了混合Heston-Merton期权定价模型。运用测度变换的方法,给出了欧式看涨期权在模型下的定价公式及相关的数值计算结果。This paper incorporates,we incorporate the stochastic nature of the short rate and volatility in option valuation model.A Merton-Heston hybrid model was proposed.With the technique of the numeraire change,pricing formula for European options is derived.Finally,some numerical illustrations are given by computing European call option prices.

关 键 词：期权定价 测度变换 随机利率 随机波动率 

分 类 号：F830[经济管理—金融学]