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《山东大学学报(理学版)》 ›› 2025, Vol. 60 ›› Issue (3): 1-11.doi: 10.6040/j.issn.1671-9352.0.2023.295

• 金融数学 •    下一篇

基于矩匹配的Hull-White模型下商期权定价

张立东1,吴水苗2,田静禾2,董懿琳2,孟祥波1*   

  1. 1.天津科技大学理学院, 天津 300457;2.天津科技大学经济与管理学院, 天津 300457
  • 发布日期:2025-03-10
  • 通讯作者: 孟祥波(1981— ),男,副教授,博士,研究方向为金融数学、随机最优控制. E-mail:mengxb@tust.edu.cn
  • 作者简介:张立东(1979— ),男,教授,博士,研究方向为金融工程与风险管理. E-mail:zhanglidong1999@126.com*通信作者:孟祥波(1981— ),男,副教授,博士,研究方向为金融数学、随机最优控制. E-mail:mengxb@tust.edu.cn
  • 基金资助:
    教育部人文社会科学研究一般项目(19YJCZH251);天津市哲学社会科学规划项目(TJYJ21-009)

Pricing quotient options by the moment matching approach under the Hull-White model

ZHANG Lidong1, WU Shuimiao2, TIAN Jinghe2, DONG Yilin2, MENG Xiangbo1*   

  1. 1. School of Science, Tianjin University of Science and Technology, Tianjin 300457, China;
    2. College of Economics and Management, Tianjin University of Science and Technology, Tianjin 300457, China
  • Published:2025-03-10

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摘要： 假设标的资产价格服从均值回复过程,运用矩匹配技术,研究Hull-White模型下商期权定价问题。相比于使用蒙特卡罗模拟方法,对Hull-White模型采用矩匹配的估值方法,可以在确保精度的基础上显著提升商期权定价的稳定性和效率。最后,在中国股票市场上,选取2个行业龙头公司的股票作为研究对象进行实例应用,评估期权定价模型在金融市场的适用性。结果显示,本模型与蒙特卡洛模拟方法的估计结果差异极小,但前者用时显著缩短。

关键词: 商期权, 均值回复过程, Hull-White模型, 矩匹配

Abstract: Under the assumption that the underlying asset price follows the mean reversion process, the quotient option pricing problem under the Hull-White model is studied by using the moment matching technique. Compared with the Monte Carlo simulation method, the stability and efficiency of quotient option pricing can be significantly improved by the proposed valuation method, while maintaining accuracy. Furthermore, in the Chinese stock market, the stocks of two leading companies are chosen as research objects for evaluating the applicability of the option pricing model in the financial market. The results indicate that the estimation results of this model and the Monte Carlo simulation method exhibit minimal differences, althougth the former requires significantly less time.

Key words: quotient option, mean-reverting process, Hull-White model, moment matching

中图分类号: 

  • O211
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