Option pricing under the fractional stochastic volatility model
Option pricing under the fractional stochastic volatility model
复制标题
分数随机波动率模型下的期权定价
DOI：
10.21914/anziamj.v63.15204
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发表时间：
2021
期刊：
影响因子：
0.9
通讯作者：
Chunyang Liu
中科院分区：
文献类型：
--
作者：
Yuecai Han;Zheng Li;Chunyang Liu
研究了分数阶随机波动率模型下的欧式看涨期权定价问题。随机波动模型是由分数布朗运动和标准布朗运动共同驱动的。利用分数布朗运动的伊藤公式、Malliavin演算、导数复制和基本解方法，得到了欧式期权价格的解析解.通过数值模拟说明了参数对期权价格的影响，并与其他模型进行了比较。doi：10.1017/S1446181121000225
We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented..doi:10.1017/S1446181121000225