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高校应用数学学报
高校应用数学学报  2016, Vol. 31 Issue (1): 9-20    
    
非线性Black-Scholes模型下Bala期权定价
董艳
陕西铁路工程职业技术学院 基础部, 陕西渭南 714000
The pricing of Bala options under the nonlinear Black-Scholes model
DONG Yan
Department of Basic, Shaanxi Railway Institute, Weinan 714000, China
 全文: PDF 
摘要： 在非线性Black-Scholes模型下, 研究了Bala期权定价问题. 首先利用双参数摄动方法, 将Bala期权适合的偏微分方程分解成一系列常系数抛物方程. 其次通过计算这些常系数抛物型方程的解, 给出了Bala期权的近似定价公式. 最后利用Green函数分析了近似结论的误差估计.
关键词： Bala期权;  非线性Black-Scholes模型;  Green函数;  误差估计    
Abstract: In this paper, the pricing problems of Bala options are studied under the nonlinear Black-Scholes model. Firstly, the partial differential equations for the Bala options are transformed into a series of parabolic equations with constant coefficients by the perturbation method of doubleparameter. Secondly, the approximate pricing formulae of the Bala options are given by solving those parabolic equations with constant coefficients. Finally, the error estimates of the approximate solutions are given by using Green function.
Key words: Bala options    nonlinear Black-Scholes model    Green function    error estimates
收稿日期: 2015-03-22 出版日期: 2018-05-17
CLC:  O211.6  
基金资助: 陕西铁路工程职业技术学院基金(2015-08)
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董艳

引用本文:

董艳. 非线性Black-Scholes模型下Bala期权定价[J]. 高校应用数学学报, 2016, 31(1): 9-20.

DONG Yan. The pricing of Bala options under the nonlinear Black-Scholes model. Applied Mathematics A Journal of Chinese Universities, 2016, 31(1): 9-20.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2016/V31/I1/9

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