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在随机利率和非仿射随机波动率模型下，研究了欧式极值期权定价问题.通过Feynman-Kac定理与Taylor一阶展开式，得到资产价格的近似特征函数.随后利用Fourier反变换，得到期权价格的近似解析解.最后通过数值模拟验证了近似解析解的准确性.
Abstract：This paper investigates the pricing of extremum options under a framework incorporating stochastic interest rates and non-affine stochastic volatility models. Utilizing the Feynman-Kac theorem and first-order Taylor expansion, we derive an approximate characteristic function for the asset prices. Subsequently, an approximate analytical solution for the option price is obtained via the Fourier inverse transform. Finally, numerical simulations are conducted to validate the accuracy of the approximate analytical solution.
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基本信息:
DOI：10.13804/j.cnki.2095-6991.2026.01.017
中图分类号:F830.9;F224
引用信息:
[1]余祖和,韦煜明,黄燕萍.随机利率和非仿射随机波动率模型下的欧式极值期权定价[J].兰州文理学院学报(自然科学版),2026,40(01):1-8.DOI:10.13804/j.cnki.2095-6991.2026.01.017.
基金信息:
广西高校中青年教师科研基础能力提升项目(2021KY1595)
2026-01-10
2026-01-10