带跳变的随机波动模型下美式期权高阶有限差分定价研究金融工程专业论文.docxVIP

广东工业大学硕士学位论文优势，美式期权定价的精度得到保证；4)巧妙地认识到基于随机波动的Bates模型中 广东工业大学硕士学位论文 优势，美式期权定价的精度得到保证；4)巧妙地认识到基于随机波动的Bates模型中 不含跳部分是Heston随机波动模型的PDE，应用新HOCJ算法进行该部分的离散，并 采用卷积积分和快速傅里叶变换对跳部分离散，既达到了高阶精度，又避免了全矩阵 求逆的复杂计算。 本文的研究丰富了期权定价理论，可以加深人们对金融市场中期权作用的认识， 认识到合理定价的重要性，正确理性投资。实际中，HOCJ．CF较为精确、直接、快速， 具有普遍适用性：一方面可应用于刻画其他带跳随机波动率模型的PIDEs，另一方面也 可用于除美式期权外的其他类型期权，为量化工作者提供可靠参考，也有利于投资者 更好地使用期权进行风险对冲，并为风险管理者提供有效的风险指标。 关键词美式期权定价；高阶紧致差分格式；FFT；Numerov离散；Bates模型；带跳变 的随机波动模型 万方数据 AbstractEmclent Abstract Emclent pncmg American options derivatives is of the importa血t topics in qu锄tltatl_ve fm8nce·As of the typical stochastic volatility models with jump，the Bates model not 0nly inherits the advantages of the Heston stochastic volatility model and the Menon Jump model,such having the“heavy tail，high peak and skewed’’ch獬terist娟r asset retum aIld“smile and smirk”for the implied volatility,but also Can ob妇也e analv如 solution for pricing European options．The model has been one of the most popular references in the real矗1lancial world． In the past years，a plentiful of progresses have been made to the晶晒ite differ％ce method(FDM)for American option pricing under the B-S model．Howevert11ere still t、)l，o b玛challenges that more complex than B—S for existing methods．First,the vohtil曲 tel111 will add one more dimension to the pricing PDE discretization．Second．the PDE becomes the PIDE caused by the non—locality of the jump teIm，which bfings us new chaUenge of pricing American options under the Bates model．Until now,there R聊 papers solving the two problems at the same time． In this paper I present an efficient high-order numerical method，HOCJ-CF,for pdcing American put options under the Bates model,based on the Jain’s high-order compact 6nite difference，convolution integral and Fast Fourier Transformation．The cmical idea behjnd HOCJ-CF is：to avoid the inversion operation of full matrix introduced by the non．10cality of the jump term，we put aside temporarily the integral term resulting from the jump，岫 denving a nine-point com