非仿射随机波动率的欧式障碍期权定价

温 鲜1; 2; $22

非仿射随机波动率的欧式障碍期权定价

引用本文：温鲜1，2，霍海峰2.非仿射随机波动率的欧式障碍期权定价[J].经济数学,2018,(2):68-71

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作者	单位
温鲜1，2，霍海峰2	（1.广西科技大学鹿山学院公共数学教学部，广西柳州 545616；2.广西科技大学理学院，广西柳州 545006）

中文摘要:研究非仿射随机波动率模型的欧式障碍期权定价问题时，首先介绍了非仿射随机波动率模型，其次利用投资组合和Ito引理，得到了该模型下扩展的Black-Schole偏微分方程.由于这个方程没有显示解，因此采用对偶蒙特卡罗模拟法计算欧式障碍期权的价格.最后,通过数值实例验证了算法的可行性和准确性.

中文关键词:概率论期权定价蒙特卡洛模拟

Pricing of European Barrier Options in Non-Affine Stochastic Volatility Model

Abstract:Under non-affine stochastic volatility model, the pricing problem of an European Barrier option is considered in this paper. First, the non-affine stochastic volatility model is introduced. Secondly, by constructing a portfolio and using Ito lemma, the extension of Black-Scholes parti-al differential equation is obtained. Due to this equation has not a formula solution, the Monte Carlo simulation with antithetic variables is used to calculate the price of European barrier option. Finally, the feasibility and accuracy of the algorithm are verified by numerical examples.

keywords:probability pricing options Monte Carlo simulation

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