Foreign equity option pricing under stochastic volatility model with double jumps
Foreign equity option pricing under stochastic volatility model with double jumps
复制标题
双跳随机波动模型下的国外股票期权定价
DOI：
10.1016/j.econmod.2011.03.016
复制
发表时间：
2011-07
影响因子：
4.7
通讯作者：
Li Hongyi
中科院分区：
文献类型：
--
作者：
Xu Weidong;Wu Chongfeng;Li Hongyi
本文考虑了Huang和Hung(2005)提出的具有挑战性的问题，即将随机波动率引入国外股票期权定价中。外国股权期权(quanto期权)是一种或有债权，其中收益由一种货币的权益决定，但实际收益是以另一种货币完成的。黄和洪(2005年)在L过程下为外国股票期权定价。在黄和洪的论文中，他们考虑了外国资产价格和汇率的跃升，并假设波动性为常量。然而，许多研究表明，收益的持续波动和跳跃不能完全捕捉到股票收益或期权价格的经验特征。本文提出了价格和波动率同时跳跃的随机波动率模型来模拟国外资产的价格和汇率。利用傅里叶逆变换给出了国外股权期权的定价公式。数值结果表明，利用价格和波动率同时跳跃的随机波动率来建模国外资产价格和汇率是必要的，这种方法可以帮助我们更准确地捕捉国外股票期权价格。
This paper considers the challenging problem advocated by Huang and Hung (2005), that is to incorporate the stochastic volatility into the foreign equity option pricing. Foreign equity options (quanto options) are contingent claims where the payoff is determined by an equity in one currency but the actual payoff is done in another currency. Huang and Hung (2005) priced foreign equity options under the Lévy processes. In Huang and Hung's paper, they considered jumps in the foreign asset prices and exchange rates and assumed the volatility as constant. However, many studies showed that constant volatility and jumps in returns are incapable of fully capturing the empirical features of equity returns or option prices. In this paper, the stochastic volatility with simultaneous jumps in prices and volatility is proposed to model foreign asset prices and exchange rates. The foreign equity option pricing formula is given by using the Fourier inverse transformation. The numerical results show that the use of stochastic volatility with simultaneous jumps in prices and volatility proposed to model foreign asset prices and exchange rates is necessary and this approach can help us to capture more accurately the foreign equity option prices.
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DOI：
10.2139/ssrn.242367
发表时间：
2001-08
期刊：
American Finance Association Meetings (AFA)
影响因子：
--
作者：
S. Kou
通讯作者：
S. Kou
影响因子：
8.2
作者：
Bates, DS
通讯作者：
Bates, DS
DOI：
10.2139/ssrn.249764
发表时间：
2000-11
期刊：
Chicago Booth RPS: Econometrics & Statistics (Topic)
影响因子：
--
作者：
M. Johannes;Bjørn Eraker;Nicholas G. Polson
通讯作者：
M. Johannes;Bjørn Eraker;Nicholas G. Polson
DOI：
10.2139/ssrn.559404
发表时间：
2004-05
期刊：
Baruch College Zicklin School of Business Research Paper Series
影响因子：
--
作者：
Liuren Wu;P. Carr
通讯作者：
Liuren Wu;P. Carr
影响因子：
1.9
作者：
Shian-Chang Huang;Mao-Wei Hung
通讯作者：
Shian-Chang Huang;Mao-Wei Hung