随机波动率模型的等价鞅测度

The Equivalent Martingale Measures for the Stochastic Volatility Model

研究了随机波动率模型的等价鞅测度.利用动态规划方法通过效用无差别定价构造了最小熵鞅测度,并给出了极小鞅测度和方差最优鞅测度,验证了这些鞅测度是不同的.

This paper deals with the equivalent martingale measures for the stochastic volatility model. Using the dynamic programming approach, the minimal entropy martingale measure is constructed by the utility indifference pricing, the minimal martingale measure and the variance-optimal martingale measures are given. Furthermore, it is shown that these martingale measure are in fact different.