论文标题
浮动屏障选项定价的哈密顿量方法
A Hamiltonian Approach to Floating Barrier Option Pricing
论文作者
论文摘要
量子力学中的哈密顿量方法为屏障选项定价提供了一种新的思维。对于比例的浮动屏障步骤选项，期权价格更改过程类似于量子力学中的一维梯形潜在的屏障散射问题。对于浮动双屏障步骤选项，期权价格更改过程类似于在有限的对称平方电位中移动的粒子。使用Hamiltonian方法论，可以得出定价内核和期权价格的分析表达式。显示了期权价格的数值结果，这是基础价格，浮动率，利率和行使价格的函数，这与数学计算给出的结果一致。
Hamiltonian approach in quantum mechanics provides a new thinking for barrier option pricing. For proportional floating barrier step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem in quantum mechanics; for floating double-barrier step options, the option price changing process is analogous to a particle moving in a finite symmetric square potential well. Using Hamiltonian methodology, the analytical expressions of pricing kernel and option price could be derived. Numerical results of option price as a function of underlying price, floating rate, interest rate and exercise price are shown, which are consistent with the results given by mathematical calculations.
