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Zeng, P., Kwok, Y.K. and Zheng, W. (2015) Fast Hilbert Transform Algorithms for Pricing Discrete Timer Options under Stochastic Volatility Models. International Journal of Theoretical and Applied Finance, 18, 1-25. http://dx.doi.org/10.1142/S0219024915500466

被以下文章引用:

• 标题: 定时器期权定价的Fourier-Cosine方法A Fourier-Cosine Method for Pricing Timer Options

  作者: 徐艳妍, 曾有栋

  关键字: Heston模型, 定时器期权, Fourier-Cosine方法Heston Model, Timer Options, Fourier-Cosine Method

  期刊名称: 《Pure Mathematics》, Vol.6 No.5, 2016-09-28

  摘要: 定时器期权是有着不确定到期日的障碍类型期权。根据标的资产的累计实现方差达到预指定的水平就强制执行的特性，在随机波动模型(Heston model)下，提出Fourier-cosine方法定价有限到期日定时器期权，得到定价表达式。数值结果说明该方法的精确性。 Timer options have an uncertain expiration date of barrier style options. The finite-maturity timer option expires when the accumulated realized variance of the underlying asset has reached a pre-specified level. We construct the Fourier-cosine method for pricing discrete timer options under Heston model. Numerical results illustrate the accuracy of the Fourier-cosine method.