基于Fourier变换的裂解价差期权定价
FOURIER TRANSFORM APPROACH FOR PRICING CRACK SPREAD OPTIONS

本文研究了期货期权和裂解价差期权的定价问题. 利用Fourier 变换方法, 在ASubCIR模型的基础上, 获得了单因素期货期权, 两因素期货期权以及价差期权价格的表达式, 最后用C++ 和MATLAB 计算出期权的价格, 解决了利用特征函数展开法计算期权价格时速度较慢且不稳定的问题.
In this paper, we study the problem of pricing future options and crack spread options. By using Fourier transform, we get the pricing formula of one-factor future options, two-factor future options and spread options under ASubCIR model. Finally, we show that the price of options can be obtained by C++ and MATLAB, and the problems of slowness and unstablity brought by eigenfunction expansion approach are also solved