广西师范大学学报（自然科学版） ›› 2015, Vol. 33 ›› Issue (3): 79-90.doi: 10.16088/j.issn.1001-6600.2015.03.013

• • 上一篇    下一篇

随机波动率模型下欧式回望期权定价

徐蕾, 邓国和   

  1. 广西师范大学数学与统计学院,广西桂林541004
  • 收稿日期:2015-04-12 出版日期:2015-05-10 发布日期:2018-09-20
  • 通讯作者: 邓国和(1969—),男,湖南桂阳人,广西师范大学教授,博士。E-mail: dengguohe@mailbox.gxnu.edu.cn
  • 基金资助:
    国家自然科学基金资助项目(11461008);教育部人文社会科学研究规划基金资助项目(13YJA910003);广西自然科学基金资助项目(2013GXNSFAA019005);广西高等学校科学技术研究重点项目(2013ZD010)

Valuation on European Lookback Option under Stochastic Volatility Model

XU Lei, DENG Guo-he   

  1. College of Mathematics and Statistics, Guangxi Normal University,Guilin Guangxi 541004, China
  • Received:2015-04-12 Online:2015-05-10 Published:2018-09-20

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摘要： 本文考虑标的股价满足Hull-White随机波动率模型的浮动执行价格的欧式回望期权定价。应用Taylor展开技术, 获到了回望看涨期权价格及其Δ对冲的近似显示解公式。数值结果表明,近似显示解公式与Monte Carlo模拟法相比具有很好的准确性和有效性,且易于实际应用。最后,利用数值实例分析了期权价格和Δ对冲策略受波动率模型中各主要参数的影响。

关键词: Hull-White模型, 回望期权, Taylor展开技术, Monte Carlo模拟

Abstract: The valuation on European lookback option with floating strike price is considered under the Hull-White stochastic volatility model. Using the Taylor series expansion technique, the approximated explicit formulas for the price and delta value of the European lookback option are obtained. Numerical experiments show that the proposed explicit formula performs accurately and efficiently compared with Monte Carlo simulation, and is easy to implement in practice. Finally, the impacts of the key parameters in the volatility process on both the option price and its delta value are analyzed through numerical examples.

Key words: Hull-White model, lookback options, Taylor series expansion technique, Monte Carlo simulation

中图分类号: 

  • O211.9
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[1] 温鲜, 邓国和. 随机波动率下障碍期权定价的对偶Monte Carlo模拟[J]. 广西师范大学学报（自然科学版）, 2016, 34(2): 90-97.
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