Path dependent volatility
Path dependent volatility
复制标题
路径依赖波动性
DOI：
--
复制
发表时间：
2008
期刊：
影响因子：
--
通讯作者：
A. Pascucci
中科院分区：
文献类型：
--
作者：
P. Foschi;A. Pascucci
本文提出了一类具有过去依赖性的非常数波动率模型。该框架包括路径依赖的波动率模型，如霍布森和罗杰斯，也路径依赖的合同，如亚洲风格的期权。该模型的一个关键特征是市场完整性得以保持。通过与标准局部波动率模型和赫斯顿模型的比较，实证分析表明了路径依赖波动率模型的有效性。特别是，事实证明，当大的市场波动发生时，赫斯顿最小方差套期保值的跟踪误差是路径依赖波动模型的套期保值误差的两倍。
We propose a general class of non-constant volatility models with dependence on the past. The framework includes path-dependent volatility models such as that by Hobson and Rogers and also path dependent contracts such as options of Asian style. A key feature of the model is that market completeness is preserved. Some empirical analysis, based on the comparison with standard local volatility and Heston models, shows the effectiveness of the path dependent volatility. In particular, it turns out that, when large market movements occur, the tracking errors of Heston minimum-variance hedging are up to twice the hedging errors of a path dependent volatility model.