Barrier Options Pricing under the Jump to Default Extended CEV Process

摘要：

In this paper,we develop the analytical solution to the Barrier option pricing problem under the Jump-todefault extended CEV model of carr and Linetsky.We argue that the JDCEV model is well suited to study path-dependent option products as Barrier option,as it naturally incorporates the empirically observed relationships between the stock price with stock price volatility and credit spreads.Our analytical formulae allow fast and accurate calculation of prices and hedge ratios of barrier options under the JDCEV diffusion process on computer.

关键词： Barrier option price JDCEV mode Laplace Transform

作者: Liugen Wang Qunfang Bao Shenghongli Guimei Liu

作者单位: Department of Mathematics Zhejiang University Hangzhou,China Department of Statistics Zhejiang University City College Hangzhou 310015,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 197-201

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）