市场微笑的局部随机波动率模型校正:蒙特卡罗方法

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-10-23 DOI:10.1201/b16332-16

P. Henry-Labordère

引用次数: 54

摘要

本文介绍了一种校正任意多因素随机波动率模型的局部波动率扩展到市场微笑的新技术。虽然近似，但这种技术既快速又准确。该过程用Bergomi方差曲线模型和$2$因子对数正态模型来说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Calibration of Local Stochastic Volatility Models to Market Smiles: A Monte-Carlo Approach

In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is illustrated with the Bergomi variance curve model and the $2$-factor log-normal model.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets