一般随机波动率框架下障碍期权的无模型近似值

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-03-11 DOI:10.1002/fut.22498

Frido Rolloos, Kenichiro Shiraya

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引用次数: 0

摘要

针对现货价格和瞬时波动率之间存在相关性的一般随机波动率框架，给出了连续监测单障碍期权的分析近似值。该近似值仅用市场可观测隐含波动率和价格来表示。因此，近似值与产生偏斜的随机波动率模型的具体形式和参数数量无关。

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A model-free approximation for barrier options in a general stochastic volatility framework

For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expressed only in terms of market observable implied volatilities and prices. As such the approximation is independent of the specific form and number of parameters of the skew-generating stochastic volatility model.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.