The SABR stochastic volatility model with β-volatility β ? (0,1) and an absorbing barrier in zero imposed to the forward prices/rates stochastic process is studied. The presence of (possibly) nonzero correlation bet...The SABR stochastic volatility model with β-volatility β ? (0,1) and an absorbing barrier in zero imposed to the forward prices/rates stochastic process is studied. The presence of (possibly) nonzero correlation between the stochastic differentials that appear on the right hand side of the model equations is considered. A series expansion of the transition probability density function of the model in powers of the correlation coefficient of these stochastic differentials is presented. Explicit formulae for the first three terms of this expansion are derived. These formulae are integrals of known integrands. The zero-th order term of the expansion is a new integral formula containing only elementary functions of the transition probability density function of the SABR model when the correlation coefficient is zero. The expansion is deduced from the final value problem for the backward Kolmogorov equation satisfied by the transition probability density function. Each term of the expansion is defined as the solution of a final value problem for a partial differential equation. The integral formulae that give the solutions of these final value problems are based on the Hankel and on the Kontorovich-Lebedev transforms. From the series expansion of the probability density function we deduce the corresponding expansions of the European call and put option prices. Moreover we deduce closed form formulae for the moments of the forward prices/rates variable. The moment formulae obtained do not involve integrals or series expansions and are expressed using only elementary functions. The option pricing formulae are used to study synthetic and real data. In particular we study a time series (of real data) of futures prices of the EUR/USD currency's exchange rate and of the corresponding option prices. The website: http://www.econ.univpm.it/recchioni/finance/w18 contains material including animations, an interactive application and an app that helps the understanding of the paper. A more general reference to the work of the authors and of their coauthors in mathematical finance is the website:http://www.econ.univpm.it/recchioni/finance.展开更多
主要研究当汇率回报呈多元t-分布时,对于外汇期权非线性头寸的VaR(Value at Risk)度量的问题。在推导出多个外汇期权的投资组合的二次近拟的矩母函数表达式基础上,本文使用傅里叶变换、切比雪夫不等式、数值转换计算求出投资组合的VaR的...主要研究当汇率回报呈多元t-分布时,对于外汇期权非线性头寸的VaR(Value at Risk)度量的问题。在推导出多个外汇期权的投资组合的二次近拟的矩母函数表达式基础上,本文使用傅里叶变换、切比雪夫不等式、数值转换计算求出投资组合的VaR的值,并和基于多元正态分布Cornish-Fisher模型以及基于Delta-正态模型计算所得的VaR值了进行比较。这种方法克服了厚尾分布的VaR计算的困难。展开更多
文摘The SABR stochastic volatility model with β-volatility β ? (0,1) and an absorbing barrier in zero imposed to the forward prices/rates stochastic process is studied. The presence of (possibly) nonzero correlation between the stochastic differentials that appear on the right hand side of the model equations is considered. A series expansion of the transition probability density function of the model in powers of the correlation coefficient of these stochastic differentials is presented. Explicit formulae for the first three terms of this expansion are derived. These formulae are integrals of known integrands. The zero-th order term of the expansion is a new integral formula containing only elementary functions of the transition probability density function of the SABR model when the correlation coefficient is zero. The expansion is deduced from the final value problem for the backward Kolmogorov equation satisfied by the transition probability density function. Each term of the expansion is defined as the solution of a final value problem for a partial differential equation. The integral formulae that give the solutions of these final value problems are based on the Hankel and on the Kontorovich-Lebedev transforms. From the series expansion of the probability density function we deduce the corresponding expansions of the European call and put option prices. Moreover we deduce closed form formulae for the moments of the forward prices/rates variable. The moment formulae obtained do not involve integrals or series expansions and are expressed using only elementary functions. The option pricing formulae are used to study synthetic and real data. In particular we study a time series (of real data) of futures prices of the EUR/USD currency's exchange rate and of the corresponding option prices. The website: http://www.econ.univpm.it/recchioni/finance/w18 contains material including animations, an interactive application and an app that helps the understanding of the paper. A more general reference to the work of the authors and of their coauthors in mathematical finance is the website:http://www.econ.univpm.it/recchioni/finance.
文摘主要研究当汇率回报呈多元t-分布时,对于外汇期权非线性头寸的VaR(Value at Risk)度量的问题。在推导出多个外汇期权的投资组合的二次近拟的矩母函数表达式基础上,本文使用傅里叶变换、切比雪夫不等式、数值转换计算求出投资组合的VaR的值,并和基于多元正态分布Cornish-Fisher模型以及基于Delta-正态模型计算所得的VaR值了进行比较。这种方法克服了厚尾分布的VaR计算的困难。
