Logistic-Hull-White随机波动率期权定价

The Pricing of Options on Logistic-Hull-White Stochastic Volatility Model

研究了标的资产的随机价格波动率,在引入Logistic-Hull-White随机波动率模型的基础上,推导出在该模型下的欧式看涨期权定价理论,并进一步实证分析了该模型的有效性.

This paper presents the study on the Stochastic volatility of the underlying asset price, and introduces Logistic-Hull-White stochastic volatility model. The European call option pricing theory is derived using the established model, and the model is further validated using a case study.