赫斯顿随机波动模型中的模糊不确定性

Q3 Economics, Econometrics and Finance

Fuzzy Economic Review Pub Date : 2011-01-01 DOI:10.25102/FER.2011.02.01

Gianna Figá-Talamanca, Maria Letizia Guerra, Luciano Stefanini

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引用次数: 1

摘要

期权定价的随机波动率模型适用于解释金融市场中许多经验风格化的事实。在其他模型中，Heston提供了很好的分析可追溯性，因为可以推导出欧式看涨期权价格的准封闭公式。赫斯顿模型参数的估计是目前研究的一个课题;本文的目的是在保留赫斯顿模型的概率结构的前提下，通过模糊逻辑来处理参数的不确定性。

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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Fuzzy uncertainty in the heston stochastic volatility model

Stochastic volatility models for option pricing are suitable to explain many empirical stylized facts in financial markets. Among the other models, Heston provides a good analytical tractability because a quasi closed formula for the price of a European call option can be derived. The estimation of the Heston model parameters is nowadays a subject of on-going research; the aim of this paper is to manage uncertainty about parameters through fuzzy logic preserving the probabilistic structure of the Heston model.

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来源期刊

Fuzzy Economic Review Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

0.40

自引率

0.00%

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