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巴黎期权是一种复杂的路径依赖期权,近年来在很多领域取得了广泛应用。为了提高收敛速度,本文运用欧拉求和法改进了原本的截尾级数的逆变换方法。接着文章给出了向下敲入看涨巴黎期权定价的算例并进行了敏感性分析,通过分析指出了巴黎期权在对冲策略上的难点所在,并提出了一种前向对冲法作为改进的对冲策略。
Paris option is a complex path-dependent option, which has been widely used in many fields in recent years. In order to improve the convergence rate, this paper uses the Euler summation method to improve the inverse transform method of original truncation series. Then, the article gives a numerical example of the downward pricing of the call option in Paris and analyzes the sensitivity of the call option. The analysis points out the difficulties of the Paris option in hedging strategy and proposes a forward hedging method as an improved hedging Strategy.