英文标题:
《Efficient valuation method for the SABR model》
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作者:
Hyukjae Park
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最新提交年份:
2013
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英文摘要:
In this article, we show how the scaling symmetry of the SABR model can be utilized to efficiently price European options. For special kinds of payoffs, the complexity of the problem is reduced by one dimension. For more generic payoffs, instead of solving the 1+2 dimensional SABR PDE, it is sufficient to solve $N_V$ uncoupled 1+1 dimensional PDE\'s, where $N_V$ is the number of points used to discretize one dimension. Furthermore, the symmetry argument enables us to obtain prices of multiple options, whose payoffs are related to each other by convolutions, by valuing one of them. The results of the method are compared with the Monte Carlo simulation.
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中文摘要:
在本文中,我们将展示如何利用SABR模型的标度对称性来有效地为欧式期权定价。对于特殊类型的支付,问题的复杂性降低了一个维度。对于更一般的回报,与其求解1+2维SABR PDE,不如求解$N_V$非耦合的1+1维PDE,其中$N_V$是用于离散一维的点数。此外,对称性论证使我们能够通过对其中一个期权进行估值,获得多个期权的价格,这些期权的收益通过卷积相互关联。将该方法的结果与蒙特卡罗模拟结果进行了比较。
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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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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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