摘要翻译:
本文讨论了跳扩散模型的篮子期权定价问题。标的资产价格遵循一些相关的局部波动扩散过程,具有系统性的跳跃。导出了一般随机过程的正向偏积分微分方程(PIDE),并用渐近展开法逼近了与篮子值过程相关的随机方差的条件期望。数值试验表明,与蒙特卡罗方法和其它方法相比,该方法在大多数情况下具有快速、准确的特点。
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英文标题:
《Basket Options Valuation for a Local Volatility Jump-Diffusion Model
with the Asymptotic Expansion Method》
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作者:
Guoping Xu and Harry Zheng
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral differential equation (PIDE) for general stochastic processes and use the asymptotic expansion method to approximate the conditional expectation of the stochastic variance associated with the basket value process. The numerical tests show that the suggested method is fast and accurate in comparison with the Monte Carlo and other methods in most cases.
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PDF链接:
https://arxiv.org/pdf/1003.1848