定时器期权定价的Fourier-Cosine方法
A Fourier-Cosine Method for Pricing Timer Options
DOI: 10.12677/PM.2016.65061, PDF,    国家自然科学基金支持
作者: 徐艳妍, 曾有栋：福州大学，福建 福州
关键词: Heston模型；定时器期权；Fourier-Cosine方法；Heston Model； Timer Options； Fourier-Cosine Method
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。
Abstract: 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.
文章引用：徐艳妍, 曾有栋. 定时器期权定价的Fourier-Cosine方法[J]. 理论数学, 2016, 6(5): 449-458. https://dx.doi.org/10.12677/PM.2016.65061

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