REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS
REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS
复制标题
欧式期权定价的复制方案
DOI：
10.1142/s021902492150014x
复制
发表时间：
2021
影响因子：
0.5
通讯作者：
FUNAHASHI HIDEHARU
中科院分区：
文献类型：
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作者：
FUNAHASHI HIDEHARU
本文提出了一种有效的方法来计算局部，随机和分数波动率模型下的欧式期权价格。而不是直接计算目标标的资产的密度函数，我们复制它从一个简单的扩散过程与已知的解析解的欧式期权。为了这个目的，我们推导出六个函数，其特征在于扩散过程的密度函数，为原始和简单的过程，并匹配这些功能，使后者模仿前者。然后，利用解析公式，我们近似计算出目标资产的期权价格。通过与以前的工作和数值实验的比较，我们表明，我们的近似的精度是高的，计算是足够快的实用目的，因此，它是适合于校准的目的。
This paper proposes an efficient method for calculating European option prices under local, stochastic, and fractional volatility models. Instead of directly calculating the density function of a target underlying asset, we replicate it from a simpler diffusion process with a known analytical solution for the European option. For this purpose, we derive six functions that characterize the density function of a diffusion process, for both the original and simpler processes and match these functions so that the latter mimics the former. Using the analytical formula, we then approximate the option price of the target asset. By comparison with previous works and numerical experiments, we show that the accuracy of our approximation is high, and the calculation is fast enough for practical purposes; hence, it is suitable for calibration purposes.