华中师范大学学报（自然科学版）2018，Vol.52Issue(2)：164-171,8.DOI:10.19603/j.cnki.1000-1190.2018.02.003
基于Bates模型的欧式离散障碍期权定价
Pricing European discrete barrier option based on Bates model
摘要
Abstract
Pricing European discrete barrier option is considered under the Bates model in this paper.Some stochastic analysis approaches such as the semi martingale It(o) formula,multivariate characteristic functions depending on at least two spot values for different points in time,Girsanov theorem,and Fourier inverse transform technique are used to derive the explicit formulas for the European discrete barrier call option.The impacts of some parameters in stochastic volatility process on the values of the barrier option values are examined by some numerical experiments,It is very useful for pricing the continuously monitored barrier options or other path dependent options.关键词
Bates模型/障碍期权/Fourier反变换/数值实例Key words
Bates model/discretely monitored barrier options/Fourier inverse transform/numerical examples分类
数理科学引用本文复制引用
薛广明,邓国和..基于Bates模型的欧式离散障碍期权定价[J].华中师范大学学报（自然科学版）,2018,52(2):164-171,8.基金项目
国家自然科学基金项目(11461008) （11461008）
广西经济预测与决策中心开放性课题项目(2015YBKT16) （2015YBKT16）
广西财经学院青年教师科研发展基金项目(2017QNB07). （2017QNB07）
