Pricing Stochastic Barrier Options under Hull-White Interest Rate Model

被引：1

作者：

潘坚 ^{[1
,2
]}

肖庆宪 ^{[1
]}

机构：

[1] Business School,University of Shanghai for Science and Technology

[2] College of Mathematics and Computer Science ,Gannan Normal University

来源：

Journal of Donghua University(English Edition) | 2016年 / 33卷 / 03期

关键词：

stochastic barrier; Hull-White interest rate model; partial differential equation(PDE) methods; option pricing;

D O I：

10.19884/j.1672-5220.2016.03.016

中图分类号：

F830.9 [金融市场]; F224 [经济数学方法];

学科分类号：

020204 ; 0701 ; 070104 ; 1201 ;

摘要：

A barrier option valuation model with stochastic barrier which was regarded as the main feature of the model was developed under the Hull-White interest rate model.The purpose of this study was to deal with the stochastic barrier by means of partial differential equation methods and then derive the exact analytical solutions of the barrier options.Furthermore,a numerical example was given to show how to apply this model to pricing one structured product in realistic market.Therefore,this model can provide new insight for future research on structured products involving barrier options.

引用

页码：433 / 438

页数：6

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