英文标题:
《Application of Malliavin calculus to exact and approximate option
pricing under stochastic volatility》
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作者:
S. Kuchuk-Iatsenko, Y. Mishura, Y. Munchak
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最新提交年份:
2016
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英文摘要:
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We study the question of exact price of European option. The form of the density function of the random variable, which expresses the average of the volatility over time to maturity is established using Malliavin calculus.The result allows calculate the price of the option with respect to minimum martingale measure when the Wiener process driving the evolution of asset price and the Wiener process, which defines volatility, are uncorrelated.
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中文摘要:
本文致力于研究具有随机波动性的金融市场模型,该模型由Ornstein-Uhlenbeck过程或Cox-Ingersoll-Ross过程的函数定义。我们研究了欧式期权的精确价格问题。利用Malliavin演算建立了随机变量密度函数的形式,该密度函数表示到期日波动率的平均值。当驱动资产价格演化的维纳过程与定义波动率的维纳过程不相关时,该结果允许计算关于最小鞅测度的期权价格。
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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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