{"title":"随机延迟波动模型中的期权定价","authors":"Álvaro Guinea Juliá, Raquel Caro‐Carretero","doi":"10.1002/mma.10417","DOIUrl":null,"url":null,"abstract":"This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options. Empirical analysis on S&P500 European call options shows that adding delay parameters reduces mean squared error. This is the first instance of providing an analytical formula for the log price characteristic function in a stochastic volatility model with multiple delay parameters. We also provide a Monte Carlo scheme that can be used to simulate the model.","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Option pricing in a stochastic delay volatility model\",\"authors\":\"Álvaro Guinea Juliá, Raquel Caro‐Carretero\",\"doi\":\"10.1002/mma.10417\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options. Empirical analysis on S&P500 European call options shows that adding delay parameters reduces mean squared error. This is the first instance of providing an analytical formula for the log price characteristic function in a stochastic volatility model with multiple delay parameters. We also provide a Monte Carlo scheme that can be used to simulate the model.\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2024-08-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1002/mma.10417\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1002/mma.10417","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
Option pricing in a stochastic delay volatility model
This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options. Empirical analysis on S&P500 European call options shows that adding delay parameters reduces mean squared error. This is the first instance of providing an analytical formula for the log price characteristic function in a stochastic volatility model with multiple delay parameters. We also provide a Monte Carlo scheme that can be used to simulate the model.