Exchange power option pricing based on the ARIMA-GARCH stochastic martingale gain process
In traditional pricing of financial assets, the impact of drift rate and volatility rate on asset prices are often not paid enough attention. It is better to reflect the impact of the stock price drift rate and volatility on the asset price. Through the solution of stochastic differential equations containing the drift rate and volatility rate, the drift rate and volatility along with the martingale method was added to traditional asset pricing, and measure change was used to determine asset prices. As a result, a stochastic ARIMA-GARCH process was jointly set up based on the classical random processes of ARIMA and GARCH, reflecting non-linear characteristics of stock price, thereby improving its accuracy in exotic option pricing. From past information, an exchange option with a linear power-type was priced with high-precision.
drift ratevolatility rateARIMA-GARCH processexchange option with a linear power-typemartin gale process
国家科技期刊平台
NSTL
万方数据
维普
