Markovian Projection Method for Volatility Calibration
Markovian Projection Method for Volatility Calibration
复制标题
波动率校准的马尔可夫投影法
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Vladimir V. Piterbarg
中科院分区：
文献类型：
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作者：
Vladimir V. Piterbarg
我们提出了马尔可夫投影方法，一种获得各种标的物的欧洲期权价格的封闭形式近似值的方法，原则上适用于任何（扩散）模型。该方法的成功应用已经出现在文献中，特别是对于利率模型（具有随机波动性的短期利率和远期 Libor 模型）以及具有外汇偏差的利率/外汇混合模型。因此，本说明的目的不是介绍马尔可夫投影方法适用的其他实例（尽管确实给出了更多示例），而是将该方法的本质提炼为概念上简单的攻击计划，任何想要获得欧式期权近似值的人都可以遵循该计划。
We present the Markovian projection method, a method to obtain closed-form approximations to European option prices on various underlyings that, in principle, is applicable to any (diffusive) model. Successful applications of the method have already appeared in the literature, in particular for interest rate models (short rate and forward Libor models with stochastic volatility), and interest rate/FX hybrid models with FX skew. The purpose of this note is thus not to present other instances where the Markovian projection method is applicable (even though more examples are indeed given) but to distill the essence of the method into a conceptually simple plan of attack, a plan that anyone who wants to obtain European option approximations can follow.