跳–扩散过程下美式期权的傅立叶变换定价.pdf

w = w − j⋅(w −1)/20 j 0 0 40 35 30 25 20 15 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 τ w = 1 j 40 35 30 25 20 15 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 τ w = 1.3 j 40 35 30 25 20 15 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 τ K=40; T=1 40 35 B(T) 30 25 20 15 10 5 0 0 10 20 30 40 50 60 70 80 90 100 S