期刊信息
- 刊名： 河北师范大学学报（自然科学版）Journal of Hebei Normal University (Natural Science)
- 主办： 河北师范大学
- ISSN： 1000-5854
- CN： 13-1061/N
- 中国科技核心期刊
- 中国期刊方阵入选期刊
- 中国高校优秀科技期刊
- 华北优秀期刊
- 河北省优秀科技期刊
基于NIG模型的远期开始期权的定价
- 河北师范大学 数学科学学院, 河北 石家庄 050024
-
DOI：10.13763/j.cnki.jhebnu.nse.2020.06.002
The Pricing of Forward-start Option Based on NIG Model
摘要/Abstract
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.
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.
关键词
Key words：
NIG model
;
forward-start option
;
measure transform
;
characteristic function
参考文献 9
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