| 郭志东,汪贤洪.期权定价的混合Heston-Merton模型[J].南华大学学报(自然科学版),2020,34(4):89~93.[GUO Zhidong,WANG Xianhong.Option Pricing under the Hybrid Heston-Merton Model[J].Journal of University of South China(Science and Technology),2020,34(4):89~93.] |
| 期权定价的混合Heston-Merton模型 |
| Option Pricing under the Hybrid Heston-Merton Model |
| 投稿时间：2020-02-19 |
| DOI： |
| 中文关键词: 期权定价 测度变换 随机利率 随机波动率 |
| 英文关键词:option pricing technique of the numeraire change stochastic interest rate stochastic volatility |
| 基金项目:安徽省自然科学青年基金项目(1908085QA29) |
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| 中文摘要: |
| 把利率和波动率的随机性都纳入到期权定价模型中,提出了混合Heston-Merton期权定价模型。运用测度变换的方法,给出了欧式看涨期权在模型下的定价公式及相关的数值计算结果。 |
| 英文摘要: |
| This paper incorporates,we incorporate the stochastic nature of the short rate and volatility in option valuation model.A Merton-Heston hybrid model was proposed.With the technique of the numeraire change,pricing formula for European options is derived.Finally,some numerical illustrations are given by computing European call option prices. |
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