广西师范大学学报（自然科学版）2012，Vol.30Issue(3)：36-43,8.
Heston模型的欧式任选期权定价与对冲策略
Pricing European Chooser Options in Heston's Stochastic Volatility Model and Hedging Strategies
摘要
Abstract
This paper considers the pricing of European chooser options in which the underlying stock's price follows the Heston's stochastic volatility model. Using the Girsanov trans form, mult ivariate characteristic function and Fourier inverse transform, the closed-form solutions for the price of the European chooser options are obtained. And the impacts of volatility parameters are analized on both the chooser option price and its delta hedging value with numerical examples.关键词
Heston模型/任选期权/Fourier反变换Key words
Heston model/ chooser options/ Fourier inverse transform分类
数理科学引用本文复制引用
邓国和..Heston模型的欧式任选期权定价与对冲策略[J].广西师范大学学报（自然科学版）,2012,30(3):36-43,8.基金项目
国家自然科学基金资助项目(40675023) （40675023）
广西自然科学基金资助项目(0991091) （0991091）
