随机波动率的美式期权定价_英文_.pdfVIP

19 1 Vol. 19No . 1 2002 3 MAT HEM AT ICS IN ECONOM ICS Mar . 2002 THE VALUATION OF AMERICAN PUT OPTIONS WITH STOCHASTIC VOLATILITY M ei Zhengy ang Li Chulin (Dep artment of Mathematics, H uazhong University of Science and Technology Wuhan, H ubei 430074, China) AbstractIn t his paper , by using finit e difference method, set up the aluation of American put option model w ith stochastic olatilit y of finite Marko chains, obtained t he alues of American put option, that impro ed the results of constant olatility model and binomial probability t ree model. The illustration shows t hat the alue calculated by our model and algorithm approaches the real price closer more. KeywordsM arko process, American option, Finite difference , Risk neutral 1. I troductio In all kinds of options, the study ing of European option is the best, but the options traded in the CBOT , PHLX, AMEX, NYSY and others are American option not European . option Valuation of American option is ery complex because it has the feature that ex ercise is permitted at any time pr ior to expiry . Hull and White [ 4] and Hull [ 7] deri ed a numeric method to alue the Amer ican put which w ith the constant olatility . Ritchey [ 5] found that the price of European option w ith stochastic olatility is the combination of the solution of - , Black Scholes equation he setup a Ritchey model descr ibed the stochastic olatility w it