| 基于非仿射随机波动率模型的欧式认股权证的定价 |
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| 引用本文： | 张霞.基于非仿射随机波动率模型的欧式认股权证的定价[J].唐山师范学院学报,2014(5):11-13. |
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| 作者姓名： | 张霞 |
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| 作者单位： | 新疆财经大学应用数学学院,新疆乌鲁木齐830012 |
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| 摘 要： | 利用快速傅里叶变换（FFT）方法推导出了标的资产服从非仿射随机波动率模型下的欧式认股权证定价公式。给出了非仿射随机波动率模型以及特征函数，应用傅里叶变换及其逆变换推导出了欧式认股权证的定价公式。
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| 关 键 词： | 欧式认股权证定价 非仿射随机波率模型 快速傅里叶变换 |
Pricing of the European Warrants Based on the Radiation Stochastic Volatility Model |
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| ZHANG Xia.Pricing of the European Warrants Based on the Radiation Stochastic Volatility Model[J].Journal of Tangshan Teachers College,2014(5):11-13. |
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| Authors: | ZHANG Xia |
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| Institution: | ZHANG Xia (School of Applied Mathematics, Xinjiang University of Finance and Economics, Urumqi 830012, China) |
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| Abstract: | By applying the fast Fourier transform （FFT） method, the European warrants pricing formulae was deduced on the base of the non-affine stochastic volatility models which underlying asset followed. Firstly, the non-affine stochastic volatility model is given as well as the characteristic function. Secondly, application of Fourier transform and its inverse transform derived the pricing formula of European warrants was given. |
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| Keywords: | European warrants pricing the non-affine stochastic volatility model fast Fourier transform |
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