Heston模型的欧式任选期权定价与对冲策略

Journal of Guangxi Normal University(Natural Science Edition) ›› 2012, Vol. 30 ›› Issue (3): 36-43.

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Pricing European Chooser Options in Heston's Stochastic Volatility Model and Hedging Strategies

DENG Guo-he

College of Mathematical Science,Guangxi Normal University,Guilin Guangxi 541004,China

Received:2012-05-23 Online:2012-09-20 Published:2018-12-04

Abstract

Abstract: This paper considers the pricing of European chooseroptions in which the underlying stock's price follows the Heston's stochastic volatility model.Using the Girsanov transform,multivariate characteristic functionand Fourier inverse transform,the closed-form solutions for the price of the European chooser options are obtained.And the impacts of volatility parameters are analized on both the chooser option price and its delta hedging value with numerical examples.

Key words: Heston model, chooser options, Fourier inverse transform

CLC Number:

O211.9

DENG Guo-he. Pricing European Chooser Options in Heston's Stochastic Volatility Model and Hedging Strategies[J].Journal of Guangxi Normal University(Natural Science Edition), 2012, 30(3): 36-43.

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