隨機波動性和雙重指數跳躍模型之美式選擇權近似解

Abstract

這篇論文的目標是提供一個在隨機波動性和雙重指數跳躍模型之下讓評價美式選擇權快速而且有效率的近似解方程式。我們的數值結果說明了不對稱跳躍與提早履約溢酬的關係：在美式賣權的時候，提早履約溢酬會隨著往上跳的機率增加而增加。

The goal of the paper is to provide a useful and efficient analytic formula for pricing American options applied by quadratic approximation method that allows for stochastic volatility and double exponential jump. Our results also show that asymmetric jumps play an important role on the early-exercise premium. The early-exercise premium increases as the probabilities of upward jumps increase of put options.