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

共 35 条

[11]

Brockhaus O., 2000, RISK MAG, V2, P92

[12] The finite moment log stable process and option pricing [J].

Carr, P ;

Wu, LR .

JOURNAL OF FINANCE, 2003, 58 (02) :753-777

[13]

Carr P., 1999, J COMPUT FINANC, V2, P61

[14] A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation [J].

Chernov, M ;

Ghysels, E .

JOURNAL OF FINANCIAL ECONOMICS, 2000, 56 (03) :407-458

[15]

Cont Rama, 2004, FINANCIAL MODELING J

[16] Term structure models driven by general Levy processes [J].

Eberlein, E ;

Raible, S .

MATHEMATICAL FINANCE, 1999, 9 (01) :31-53

[17] Statistical estimation of Lévy-type stochastic volatility models [J].

Figueroa-López J.E. .

Annals of Finance, 2012, 8 (2-3) :309-335

[18] Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law [J].

Fruehwirth-Schnatter, Sylvia ;

Soegner, Leopold .

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2009, 61 (01) :159-179

[19]

Garcia J., 2009, WILMOTT J, V1, P95

[20] What makes investors trade? [J].

Grinblatt, M ;

Keloharju, M .

JOURNAL OF FINANCE, 2001, 56 (02) :589-616

← 1 2 3 4 →