英文标题：
《First-Order Asymptotics of Path-Dependent Derivatives in Multiscale
Stochastic Volatility Environment》
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作者：
Yuri F. Saporito
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最新提交年份：
2017
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英文摘要：
In this paper, we extend the first-order asymptotics analysis of Fouque et al. to general path-dependent financial derivatives using Dupire\'s functional Ito calculus. The main conclusion is that the market group parameters calibrated to vanilla options can be used to price to the same order exotic, path-dependent derivatives as well. Under general conditions, the first-order condition is represented by a conditional expectation that could be numerically evaluated. Moreover, if the path-dependence is not too severe, we are able to find path-dependent closed-form solutions equivalent to the fist-order approximation of path-independent options derived in Fouque et al. Additionally, we exemplify the results with Asian options and options on quadratic variation.
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中文摘要：
在本文中，我们利用Dupire的函数Ito演算将Fouque等人的一阶渐近分析推广到一般的路径相关金融衍生品。主要结论是，根据普通期权校准的市场组参数也可用于为相同顺序的奇异、路径依赖型衍生产品定价。在一般条件下，一阶条件由可数值计算的条件期望表示。此外，如果路径依赖性不太严重，我们可以找到与Fouke等人导出的路径无关期权的一阶近似等价的路径依赖闭式解。此外，我们还举例说明了亚式期权和二次变差期权的结果。
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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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