无正态假设的Black-Scholes公式:在随机波动率和随机利率中的应用

ERN: Asset Pricing Models (Topic) Pub Date : 2021-09-06 DOI:10.2139/ssrn.3918488

Moawia Alghalith

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引用次数: 0

摘要

我们给出了随机波动率和随机利率下欧式期权的明确、简单的价格公式。公式和经典的布莱克-斯科尔斯公式一样简单。此外，公式不要求回报的正态性。我们不需要知道收益/价格的分布。

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Black-Scholes formulas without the normality assumption: Applications to stochastic volatility and stochastic interest rate

We provide explicit, simple price formulas for the European options under stochastic volatility and stochastic interest rate. The formulas are as simple as the classical Black-Scholes formula. Moreover, the formulas do not require the normality of the returns. We do not need to know the distribution of the returns/price.

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来源期刊

ERN: Asset Pricing Models (Topic)

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