Vasicek随机利率模型下欧式期权定价的Mellin变换法
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引用本文:孙 娇 娇.Vasicek随机利率模型下欧式期权定价的Mellin变换法[J].经济数学,2019,(3):21-26
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作者单位
孙 娇 娇 (淮北师范大学 数学科学学院安徽 淮北 235000) 
中文摘要:运用Feynman-Kac公式和偏微分方程法得到Vasicek随机利率模型下的零息债券价格公式.利用△-对冲方法建立该模型下欧式期权价值满足的偏微分方程模型,并用Mellin变换法求解该偏微分方程,最终得到欧式期权定价公式.从数值算例的结果可以看出Mellin变换法的有效性以及不同参数对期权价值的影响.
中文关键词:金融数学  Mellin变换法  Vasicek随机利率  偏微分方程
 
Mellin Transform Method For European Option Pricing with Vasicek Stochastic Interest rate
Abstract:The formula of zero coupon bond price with Vasicek stochastic interest rate is obtained by using Feynman-Kac formula and partial differential equation method. Based on Δ-hedging method,a partial differential equation model satisfied by European option value is established. Then the Mellin transform techniques are used to solve the partial differential equation. Finally, a closed form solution for the European option is obtained. The numerical results show the effectiveness of Mellin transform and the influence of different parameters on the value of option.
keywords:Financial Mathematics  Mellin Transform Method  Vasicek Stochastic Interest Rate  Partial Differential Equation
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