基于Meixner过程的Cliquet期权定价

M. Hess
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引用次数: 2

摘要

本文研究了几何Meixner模型下的cliquet期权定价问题。考虑的期权是月度和上限风格,而基础股票价格模型是由产生梅克斯纳分布对数回报的纯跳跃梅克斯纳-L\ {e}维过程驱动的。在这种情况下,我们通过使用驱动Meixner—L\ {e}vy过程的概率分布函数和应用傅里叶变换技术推断出cliquet期权价格的半解析表达式。在介绍部分中,我们汇编了关于Meixner分布和相关类的Meixner—L\ {e}vy过程的各种事实。我们还提出了一个自定义的度量更改,以保留任何Meixner过程的Meixner分布。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Cliquet Option Pricing with Meixner Processes
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L\'{e}vy process yielding Meixner distributed log-returns. In this setting, we infer semi-analytic expressions for the cliquet option price by using the probability distribution function of the driving Meixner--L\'{e}vy process and by an application of Fourier transform techniques. In an introductory section, we compile various facts on the Meixner distribution and the related class of Meixner--L\'{e}vy processes. We also propose a customized measure change preserving the Meixner distribution of any Meixner process.
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