多资产局部随机波动模型下连续障碍期权定价的一种近似方法

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2020-11-02 DOI:10.1142/S021902492050051X

Kenichiro Shiraya

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引用次数: 1

摘要

本文提出了一种在一般局部随机波动模型下多资产连续单障碍期权定价的新的近似方法。该公式应用渐近展开技术和扩散过程第一退出时间分布的近似。该方法主要研究具有未知特征函数和转移密度函数的局部随机波动率模型。据我们所知，我们的近似公式是第一个在这种环境下实现连续障碍期权价格的分析近似的公式。在数值实验中，我们证实了该公式的有效性。

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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AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

This paper presents a new approximation method for pricing multi-asset continuous single barrier options under general local stochastic volatility models. The formula applies an asymptotic expansion technique and an approximation for the distribution of the first exit time of diffusion processes. This method focuses on local stochastic volatility models with unknown characteristic function and transition density function. To the best of our knowledge, our approximation formula is the first to achieve analytic approximations for continuous barrier options prices in this environment. In numerical experiments, we confirm the validity of the formula.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.