厦门大学学报（自然科学版）2016，Vol.55Issue(6)：912-917,6.DOI:10.6043/j.issn.0438-0479.201603009
随机波动率下永久美式障碍期权的渐近式
The Asymptotic Formula of the Perpetual American Barrier Option Under Stochastic Volatility
摘要
Abstract
This study considers a stochastic volatility model for pricing perpetual American barrier options where the volatility is driven by a fast mean reversion Ornstein-Unlenbeck (O-U)process.It takes the case of the perpetual down-and-out call option for example,pricing problem of which can be formulated as a free boundary problem.Using the perturbation method,we first expand the price and the optimal exercise price of this option in the power of the length of mean reversion time.Then,by solving a set of Poisson equations,two asymptotic formulae are derived for this option price and the optimal exercise price,respectively.关键词
随机波动率/永久美式障碍期权/偏微分方程/扰动法/Poisson方程Key words
stochastic volatility/perpetual American barrier options/partial differential equation/perturbation method/Poisson e-quation分类
数理科学引用本文复制引用
张娇娇,毕秀春,李荣,张曙光..随机波动率下永久美式障碍期权的渐近式[J].厦门大学学报（自然科学版）,2016,55(6):912-917,6.基金项目
国家自然科学基金(11401556,11471304) （11401556,11471304）
中央高校基本科研业务费专项(WK 2040000012) （WK 2040000012）
