粗略随机局部波动率模型下亚洲期权定价的连续时间马尔可夫链近似法

IF 0.8 4区数学 Q3 STATISTICS & PROBABILITY

Communications in Statistics-Simulation and Computation Pub Date : 2024-04-12 DOI:10.1080/03610918.2024.2334790

Ziqi Lei, Qing Zhou, Weilin Xiao

引用次数: 0

摘要

我们提出了一个为离散和连续监测算术平均亚洲期权定价的一般框架，其标的资产价格满足粗略随机局部波动率模型。

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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Continuous-time Markov chain approximation for pricing Asian options under rough stochastic local volatility models

We propose a general framework for pricing both discretely and continuously monitored arithmetic average Asian options whose underlying asset price satisfies the rough stochastic local volatility m...

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来源期刊

Communications in Statistics-Simulation and Computation 数学-统计学与概率论

CiteScore

2.50

自引率

11.10%

发文量

240

审稿时长

6 months

期刊介绍： The Simulation and Computation series intends to publish papers that make theoretical and methodological advances relating to computational aspects of Probability and Statistics. Simulational assessment and comparison of the performance of statistical and probabilistic methods will also be considered for publication. Papers stressing graphical methods, resampling and other computationally intensive methods will be particularly relevant. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.