发帖
雷达卡
英文标题：
《Derivative pricing under the possibility of long memory in the supOU
stochastic volatility model》
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作者：
Robert Stelzer and Jovana Zavi\\v{s}in
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最新提交年份：
2014
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英文摘要：
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where it is analytic and discuss the use of Fourier pricing techniques. Finally, we present a concrete specification with polynomially decaying autocorrelations and calibrate it to observed market prices of plain vanilla options.
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中文摘要：
我们考虑了具有长期相关性的supOU随机波动率模型。对于这个模型，我们给出了折扣股票价格为鞅的条件，计算了特征函数，给出了一个解析条，并讨论了傅里叶定价技术的使用。最后，我们提出了一个具有多项式衰减自相关的具体规范，并将其校准为普通香草选项的观察市场价格。
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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