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| 摘要: |
| 本文研究了期货期权和裂解价差期权的定价问题. 利用Fourier 变换方法, 在ASubCIR模型的基础上, 获得了单因素期货期权, 两因素期货期权以及价差期权价格的表达式, 最后用C++ 和MATLAB 计算出期权的价格, 解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题. |
| 关键词: ASubCIR模型 Fourier变换 期货期权 价差期权 |
| DOI： |
| 分类号:O211.6 |
| 基金项目:国家自然科学基金资助(11371340). |
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| FOURIER TRANSFORM APPROACH FOR PRICING CRACK SPREAD OPTIONS |
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ZHUANG Qian-qian,CHENG Xi-Jun,LI Jing
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| Abstract: |
| In this paper, we study the problem of pricing future options and crack spread options. By using Fourier transform, we get the pricing formula of one-factor future options, two-factor future options and spread options under ASubCIR model. Finally, we show that the price of options can be obtained by C++ and MATLAB, and the problems of slowness and unstablity brought by eigenfunction expansion approach are also solved. |
| Key words: ASubCIR model Fourier transform future option spread option |
