张霞, 法鲁克·伊敏. 带有随机波动率的交换期权定价[J]. Journal of Xinjiang University (Natural Science Edition in Chinese and English), 2006, (2).DOI：
带有随机波动率的交换期权定价
摘要
通过利用计价单位的变换及等价鞅测度
得到了在随机波动率下的交换期权定价公式.
Abstract
[WT5"BZ]In this paper
by using change of numeraire and equivalence Martingales measure
we have derived the formula for exchange option in case of stochastic volatilities. [WT5"HZ]
关键词
Keywords
references
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钱晓松.跳扩散模型中的测度变换与期权定价[J].应用概率统计,2004,20:91-99.
YANG Z,HUANG L H,MA C Q.Explicit expressions for the valuation and hedging of the arithmetic Asian option[J].Journal of Systems Science and Complexity,2003,16:557-561.
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