英文标题：
《Asymptotic analysis of stock price densities and implied volatilities in
mixed stochastic models》
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作者：
Archil Gulisashvili and Josep Vives
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最新提交年份：
2014
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英文摘要：
In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin convolution of functions, and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-diffusion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.
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中文摘要：
本文得到了函数Mellin卷积的带误差估计的尖锐渐近公式，并用这些公式刻画了混合随机模型中股票价格过程边际分布密度的渐近行为。混合模型的特殊例子是跳跃扩散模型和带有跳跃的随机波动率模型。我们将我们的一般结果应用于具有双指数跳跃的Heston模型，并详细分析了该模型中股票价格密度、看涨期权定价函数和隐含波动率的渐近行为。对于跳跃分布符合NIG定律的Heston模型，我们也得到了类似的结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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