在线阅读 --自然科学版 2020年6期《基于NIG模型的远期开始期权的定价》
基于NIG模型的远期开始期权的定价--[在线阅读]
李翠香, 王梦娜, 王心悦
河北师范大学 数学科学学院, 河北 石家庄 050024
起止页码: 467--471页
DOI: 10.13763/j.cnki.jhebnu.nse.2020.06.002
摘要
在标的资产价格服从指数NIG过程的条件下研究远期开始期权的定价问题.首先通过测度变换,把到期收益的期望转化成了示性函数的期望,从而得到了用对数收益的特征函数的积分表示的远期开始看涨、看跌期权的定价公式;其次讨论了期权价格对标的资产价格和时间的敏感性.

The Pricing of Forward-start Option Based on NIG Model
LI Cuixiang, WANG Mengna, WANG Xinyue
School of Mathematical Sciences, Hebei Normal University, Hebei Shijiazhuang 050024, China
Abstract:
The aim of this paper is to price forward-start option under the assumption that the underlying asset price follows exponential NIG process.Firstly,the pricing formulas of the forward-start call and put options,in terms of the integral of the characteristic function of log return,are obtained by the help of measure transform.Then,we study the sensitivity of option price to underlying asset price and time.

收稿日期: 2020-07-05
基金项目: 国家自然科学基金(11571089);河北省教育厅基金(ZD2018065, ZD2019053)

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