随机波动环境下下跌的概率分布与期权定价

CIRJE F-Series Pub Date : 2010-03-01 DOI:10.1142/S0219024910005796

K. Yamamoto, Seisho Sato, Akihiko Takahashi

{"title":"随机波动环境下下跌的概率分布与期权定价","authors":"K. Yamamoto, Seisho Sato, Akihiko Takahashi","doi":"10.1142/S0219024910005796","DOIUrl":null,"url":null,"abstract":"This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.","PeriodicalId":345004,"journal":{"name":"CIRJE F-Series","volume":"54 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment\",\"authors\":\"K. Yamamoto, Seisho Sato, Akihiko Takahashi\",\"doi\":\"10.1142/S0219024910005796\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.\",\"PeriodicalId\":345004,\"journal\":{\"name\":\"CIRJE F-Series\",\"volume\":\"54 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2010-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"CIRJE F-Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1142/S0219024910005796\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"CIRJE F-Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1142/S0219024910005796","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 9

摘要

本文研究了随机波动环境下下跌的概率分布和期权定价问题。它们的解析近似公式是通过应用奇异摄动法推导出来的(Fouque et al.[7])。并证明了近似的数学有效性。然后，数值算例表明，资产价值与波动状态之间的瞬时相关性对回撤的概率分布和期权价格具有重要影响。

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

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is also proven. Then, numerical examples show that the instantaneous correlation between the asset value and the volatility state crucially affects the probability distribution and option prices for drawdown.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

CIRJE F-Series

自引率

0.00%

发文量