定价vanilla option with stochastic volatility

hantb4510 发表于 2010-3-17 09:11
恩 好吧 那您有这方面比较的材料吗 我查了很多地方都还没找到一个系统的认识 谢谢

      
没有

This question is too general.
To price a Call, or any other derivatives, we need to know what kind of model you want to use, then we will choose which method.
For a stochastic vol model, if we know the characteristic function of assert in a closed form, FFT can be applied to European options, because fourier transformation of price is available.  What's more, if we just want to price a call, numerical integraiton works also.  The advantage of pricing calls with FFT is that once we use this method, prices for all strikes( precisely almost all) can be obtained without additional computation. I think PDE method can also be taken, but PDE in two dimension is not so competitive w.r.t to FFT.
Risk-Neutral valuation? I am curious why you mentioned it. Don't we price derivatives under risk-neutral proba? And i don't know how to price derivative under sto vol with trees......
MC is a nice candidate to price derivatives, but we all know that it is not so efficient. Especially in your case, i really doute the efficiency of MC comparing to other method. I said I doute, because i never priced derivatives with MC under sto vol models. But one thing i am sure is that FFT and Numerical Integration is very efficient.  Here is the articles about methods i talked, hope it helps.
1. FFT
P. Carr and D. Madan. Option valuation using the fast
fourier transform. Journal of Computational Finance,
2(4):6173, 1999
2. N I
M. Attari. Option pricing using fourier transforms:
A numerically efficient simplification. Woring Paper,
Charles River Associates, 2004

BTW, where do you study?  doing a  master?

11# hantb4510

都是在这里讨论学习，如果把所有东西都公示出来，想帮助你的人会更清楚。如果不是私密信息，尽量不要通过短信，自己得到帮助，也给别人学习的机会。

22# vertigo
thank you ,thank you very much for your kindly reply. that is true, i am doing master now, in uk. thank you very much

23# 矿主
不好意思，斑竹，谢谢你的提醒，下次一定注意，短消息只是一些私人信息，不好意思