英文标题：
《Effect of Volatility Clustering on Indifference Pricing of Options by
Convex Risk Measures》
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作者：
Rohini Kumar
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最新提交年份：
2015
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英文摘要：
In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures. Mathematical Finance. Advance online publication. doi:10.1111/mafi.12015). The indifference price in their article is obtained by using dynamic convex risk measures given by backward stochastic differential equations. Volatility clustering is modelled by a fast mean-reverting volatility in a stochastic volatility model for stock price. Asymptotics of the indifference price of options and their corresponding implied volatility are obtained in this article, as the mean-reversion time approaches zero. Correction terms to the asymptotic option price and implied volatility are also obtained.
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中文摘要：
在本文中，我们研究了波动率聚类对Sircar和Sturm在其论文（Sircar，R.，和Sturm，S.（2012））中描述的期权风险无差异价格的影响。从微笑渐近线到市场风险度量。数学金融。提前在线出版。内政部：10.1111/mafi。12015). 本文中的无差异价格是通过使用倒向随机微分方程给出的动态凸风险测度得到的。在股票价格的随机波动率模型中，波动率聚类由快速均值回复波动率建模。当平均回归时间接近零时，本文得到了期权的无差异价格及其相应的隐含波动率的渐近性。得到了渐近期权价格和隐含波动率的修正项。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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