论文标题
夹心伏特拉波动率模型中的期权定价
Option pricing in Sandwiched Volterra Volatility model
论文作者
论文摘要
我们引入了一种新的金融市场模型，其随机波动性是由任意Hölder连续高斯伏特拉过程驱动的。该模型的区别特征是波动率方程的形式，可确保在两个任意的Hölder连续函数之间进行``夹紧''的解决方案。我们讨论了该市场上当地的Martingale措施的结构，调查价格和波动性的整合性和Malliavin的可不同性，并研究相应概率法的绝对连续性。此外，我们利用Malliavin演算来开发具有不连续收益的定价选项算法。
We introduce a new model of financial market with stochastic volatility driven by an arbitrary Hölder continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the solution to be ``sandwiched'' between two arbitrary Hölder continuous functions chosen in advance. We discuss the structure of local martingale measures on this market, investigate integrability and Malliavin differentiability of prices and volatilities as well as study absolute continuity of the corresponding probability laws. Additionally, we utilize Malliavin calculus to develop an algorithm of pricing options with discontinuous payoffs.
