次分数跳Vasicek随机利率模型下带交易费的亚式期权定价
Asian Option Pricing with Transaction Costs Under the Vasicek Stochastic Interest Rate Model with Sub-Fractional Jumps
杨月 1王永茂1
作者信息
- 1. 燕山大学理学院,河北 秦皇岛 066004
- 折叠
摘要
主要研究标的资产价格服从次分数跳扩散过程的亚式期权定价问题,考虑到利率的变化和市场中存在的交易费用,引入次分数Vasicek随机利率和比例交易费,利用无套利原理建立定价模型,应用变量替换化成Cauchy问题,求得亚式看涨期权和亚式看跌期权价值的解析解.
Abstract
This paper studies the Asian option pricing problem in which the price of the underlying asset is subject to the sub-fractional jump diffusion process.Taking into account the changes in interest rates and the transaction costs existing in the market,the sub-fraction Vasicek random interest rate and the transaction costs are introduced,and the principle of no arbitrage is used to establish the pricing model is transformed into a Cauchy problem using variable substitution to obtain analytical solutions for the value of Asian call options and Asian put options.
关键词
次分数跳/Vasicek随机利率/比例交易费/亚式期权Key words
sub-fraction jump/Vasicek stochastic interest rate/transaction costs/Asian option引用本文复制引用
基金项目
河北省自然科学基金青年基金(F2017203130)
出版年
2024
NETL
NSTL
万方数据