具有随机波动性的随机流动性风险模型及其在期权定价中的应用

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Stochastic Models Pub Date : 2024-04-04 DOI:10.1080/15326349.2024.2332326

Xin-Jiang He, Sha Lin

引用次数: 0

摘要

我们研究了当标的股票存在流动性风险时欧式期权的定价问题。在我们建立的框架下，股票价格被假定遵循赫斯顿...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A stochastic liquidity risk model with stochastic volatility and its applications to option pricing

We investigate the pricing problem of European options when the underlying stock is associated with liquidity risks. Under our established framework, stock prices are assumed to follow the Heston s...

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来源期刊

Stochastic Models 数学-统计学与概率论

CiteScore

1.30

自引率

14.30%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastic Models publishes papers discussing the theory and applications of probability as they arise in the modeling of phenomena in the natural sciences, social sciences and technology. It presents novel contributions to mathematical theory, using structural, analytical, algorithmic or experimental approaches. In an interdisciplinary context, it discusses practical applications of stochastic models to diverse areas such as biology, computer science, telecommunications modeling, inventories and dams, reliability, storage, queueing theory, mathematical finance and operations research.