GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING

被引：25

作者：

Sengupta, Indranil ^{[1
]}

机构：

[1] N Dakota State Univ, Dept Math, NDSU Dept 2750, Minard Hall 408E12, Fargo, ND 58108 USA

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2016年 / 19卷 / 02期

关键词：

Martingale measures; Ornstein-Uhlenbeck type process; option pricing; Inverse-Gaussian distribution; volatility smile;

D O I：

10.1142/S021902491650014X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, a class of generalized Barndorff-Nielsen and Shephard (BN-S) models is investigated from the viewpoint of derivative asset analysis. Incompleteness of this type of markets is studied in terms of equivalent martingale measures (EMM). Variance process is studied in details for the case of Inverse-Gaussian distribution. Various structure preserving subclasses of EMMs are derived. The model is then effectively used for pricing European style options and fitting implied volatility smiles.

引用

页数：23

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