英文标题：
《Pricing Spread Options under Stochastic Correlation and Jump-Diffusion
Models》
---
作者：
Pablo Olivares and Matthew Cane
---
最新提交年份：
2014
---
英文摘要：
This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic volatility, and different stochastic dependence structures. With the use of Fast Fourier Transform(FFT) we accurately compute spread option prices across a variety of strikes and initial price vectors at a very low computational cost when compared to Monte Carlo pricing methods. We also look at the sensitivities of the prices to the model specifications and find strong dependence on the selection of the jump and stochastic volatility parameters. Our numerical implementation is based on the method developed by Hurd and Zhou (2009).
---
中文摘要：
本文研究了在复合泊松过程和Cox-Ingersoll-Ross（CIR）过程形式的随机波动率驱动的跳跃模型下的价差期权定价问题。我们推导了两个具有联合正态分布跳跃、随机波动和不同随机依赖结构的市场模型的特征函数。与蒙特卡罗定价方法相比，通过使用快速傅立叶变换（FFT），我们可以以非常低的计算成本准确计算各种不同的履约和初始价格向量的价差期权价格。我们还研究了价格对模型规格的敏感性，发现价格对跳跃和随机波动参数的选择有很大的依赖性。我们的数值实现基于Hurd和Zhou（2009）开发的方法。
---
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
--

---
PDF下载：
-->