Thr Barrier Option Pricing Based On The CIR Stochastic Volatility Model

In the process of continuous development of the international financial market,in order to be more in line with the trend of the time,a variety of exotic options have emerged.They have their own characteristics,and have been cast a focus by a large number of scholars and investors.One of the representative singular options is the barrier option,which has the characteristics of dependence path.The protagonist of this paper is the obstacle option,and continues to study his pricing problem.Before this,many scholars assumed that the volatility of risk assets was constant.In this case,the pricing problem of the barrier option is studied,but it does not match the actual situation.For example,it will produce the phenomenon of“smile”or tilt of the volatility.So in order to solve this practical problem and make the pricing more in line with the actual situation,this paper has constructed The stochastic volatility model studies barrier options.Under the premise that the volatility satisfies the CIR model,the properties of the stochastic volatility model are first analyzed.That is to say,under the premise that the stochastic differential equation has the existence and uniqueness of the solution,the barrier option is priced.It is crucial to show the pricing of the solution,providing a mathematical basis and support for the later simulation.Since the Monte-Carlo simulation of the control variable is more accurate than the Monte-Carlo method,the paper uses the control variable Monte-Carlo method is used for pricing simulation.Finally,the data comparison and analysis of the two simulation methods are carried out,and the influence of the volatility on the price on the price and the influence of various parameters in the model on the price are analyzed.Has a certain practical significance.