摘要
随机波动率模型是著名的Black-Scholes模型的推广,该模型描述的市场是不完备的,相应期权的定价与保值和投资者的风险态度有关.本文假设标的资产波动率为对数正态过程,根据局部风险最小准则,运用梯度算子方法,得到了欧式看涨期权的局部风险最小定价及套期保值策略的显式解.
Stochastic volatility models are the generalization of the well-known Black-Scholes model, and the markets described by them are incomplete. Therefore, the pricing and hedging of the option depend on the attitude of the investors. Generally speaking, it is extremely difficult for one to obtain an explicit solution to the pricing or hedging. In this paper, we assuming the volatility follows a log-normal stochastic process, this paper derived the ex- plicit solutions to the local R-minimized pricing and hedging of European option by means of the gradient operator method.
出处
《经济数学》
北大核心
2009年第2期16-22,共7页
Journal of Quantitative Economics
基金
国家社科基金资助项目(06BJL022)
关键词
随机波动率
期权定价与保值
局部风险最小化
显式解
stochastic volatility
option pricing and hedging
local R-minimality
explicit solutions