２５２应用数学学报３２卷
圈２随机波动率下期权提前实施边界曲面
随机波动率与双指数跳扩散组合模型的美式期权定价
作者：邓国和， 杨向群， DENG GUOHE， YANG XIANGQUN
作者单位：邓国和,DENG GUOHE(广西师范大学数学科学学院,桂林,541004)， 杨向群,YANG
XIANGQUN(湖南师范大学数学与计算机科学学院,长沙,410081)
刊名：
应用数学学报
英文刊名：ACTA MATHEMATICAE APPLICATAE SINICA
年，卷(期)：2009,32(2)
被引用次数：1次
1.Bakshi G;Cao C;Chen Z W Pricing and Hedging Long-Term Options[外文期刊] 2000(03)
2.Scott L O Pricing Stock Option in a Jump-diffusion Model with Stochastic Volatility and Interest Rates:Applications of Fourier Inversion Methods[外文期刊] 1997(04)
3.Gukhal C R Analytical Valuation of American Option on Jump-diffusion Processes[外文期刊] 2001(01)
4.Pham H Optimal stopping,Free Boundary and American Option in a Jump-diffusion Model 1997(02)
5.Zhang Xiaolan Numerical Analysis of American Option Pricing in a Jump-diffusion Model 1997(03)
6.Bates D Jumps and Stochastic Volatility:Exchange Rates Processes Implicit in Deutsche Mark Options [外文期刊] 1996(01)
7.Schobel R;Zhu J W Stochastic Volatility with an Ornstein-Uhlenbeck Process:an Extension[外文期刊] 1999(01)
8.Heston S L A Closed Form Solution for Option with Stochastic Volatility with Application to Bond and Currencies[外文期刊] 1993(03)
9.Stein E M;Stein J C Stocks Price Distribution with Stochastic Volatility:an Analytic Application 1991(02)
10.Hull J C;White A The Pricing of Options on Assets with Stochastic Volatilities[外文期刊] 1987(04)
11.Merton R C Option Pricing when Underlying Stock Returns are Discontinuous[外文期刊] 1976(1-2)
12.Chen R R;Yeh S K Analytical Upper Bounds for American Option Prices 2002(01)
13.Cont R;Tankov P Nonpararnetric Calibration of Jump-diffusion Option Pricing Models 2004(01)
14.Bassan B;Ceci C Regularity of the Value Function and Viscosity Solutions in Optimal Stopping Problems for General Markov Processes 2002(3-4)
15.Chang Chuang-Chang;Fu H C A Binomial Option Pricing Model Under Stochastic Volatility and Jump 2001(03)
16.Kou S G;Wang Hui Option Pricing Under a Double Exponential Jump-diffusion Model[外文期刊]
2004(04)
17.Yang C;Jiang L;Bian B Free Boundary and American Options in a Jump-duffusion Model 2006(01)
18.Amin K Jump-diffusion Option Valuation in Discrete Time 1993(05)
19.Broadie M;Detemple J;Ghysels E;Torres O American Options with Stochastic Dividends and
Volatility:a Nonparametric Investigation[外文期刊] 2000(01)
20.Touzi N American Options Exercise Boundary when the Volatility Changes Randomly[外文期刊]
1999(03)
21.Kallast S;Kivinukk A Pricing And Hedging American Options Using Approximations by Kim Integral Equation 2003(03)
22.Ju N Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function 1998(03)
23.Huang J;Subrahmanyam M;Yu G Pricing and Hedging American Options:a Recursive Integration Method 1996(02)
24.Zhang Tie The Numerical Methods for American Option Pricing[期刊论文]-Acta Mathematicae Applicatae Sinica 2002(01)
25.Deng G H Pricing European Option in a Double Exponential Jump-diffusion Model with Two Market Structure Risks and Its Comparisons[期刊论文]-Applied Mathematics A Journal of Chinese Universities,B 2007(02)
26.Kou S G A Jump-diffusion Model for Option Pricing[外文期刊] 2002(08)
27.Yang Zhaojun;Huang Lihong Closed-Form Solution of the Option Problem Under the Combination of a Stochastic Volatility Process and a Jump Process[期刊论文]-Chinese Journal of Applied Probability and Statistics 2004(03)
28.Black F;Scholes M The Pricing of Options and Corporate Liabilities 1973(03)
1.黄国安.邓国和随机波动率下跳扩散模型的远期生效期权[期刊论文]-广西师范大学学报（自然科学版）2009(3)
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