具有时变参数的扩展Heston-CEV混合模型条件矩的解析公式

IF 0.6 4区综合性期刊 Q3 MULTIDISCIPLINARY SCIENCES

Chiang Mai Journal of Science Pub Date : 2023-05-31 DOI:10.12982/cmjs.2023.022

Promsiri Anunak, P. Boonserm, Udomsak Rakwongwan

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引用次数: 0

摘要

本文提出了扩展Heston- CEV混合模型的条件矩解析公式，其中标的资产动态是在恒定方差弹性(CEV)过程即马奇-罗森菲尔德过程的混合框架下形成的。通过成功地求解二维过程的无穷微元发生器对应的偏微分方程，得到了该公式。所得公式易于实际应用，与现有文献结果相比，具有较强的通用性。此外，通过与蒙特卡罗(MC)模拟结果的比较，进行了数值验证，以说明分析公式的准确性。

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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Analytical Formula for Conditional Moments of Extended Heston-CEV Hybrid Model with Time-dependent Parameters

This paper proposes an analytical formula for conditional moments of the extended Heston- CEV hybrid model, where the underlying asset dynamic is formed under the hybrid framework of a constant elasticity of variance (CEV) process that is the March–Rosenfeld process. The formula is received by successfully solving the partial differential equation corresponding to the infi nitesimal generator for two-dimensional process. The formula obtained is easy to use in practice and relatively more general compared with the currently existing results in the literature. In addition, numerical validations are conducted to illustrate the accuracy of our analytical formula by comparing the results gained from the Monte Carlo (MC) simulations.

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来源期刊

Chiang Mai Journal of Science MULTIDISCIPLINARY SCIENCES-

CiteScore

1.00

自引率

25.00%

发文量

103

审稿时长

3 months

期刊介绍： The Chiang Mai Journal of Science is an international English language peer-reviewed journal which is published in open access electronic format 6 times a year in January, March, May, July, September and November by the Faculty of Science, Chiang Mai University. Manuscripts in most areas of science are welcomed except in areas such as agriculture, engineering and medical science which are outside the scope of the Journal. Currently, we focus on manuscripts in biology, chemistry, physics, materials science and environmental science. Papers in mathematics statistics and computer science are also included but should be of an applied nature rather than purely theoretical. Manuscripts describing experiments on humans or animals are required to provide proof that all experiments have been carried out according to the ethical regulations of the respective institutional and/or governmental authorities and this should be clearly stated in the manuscript itself. The Editor reserves the right to reject manuscripts that fail to do so.