From local volatility to local Levy models

被引：38

作者：

Carr, P

Geman, H

Madan, DB ^{[1
]}

Yor, M

机构：

[1] NYU, Courant Inst, New York, NY 10012 USA

[2] Univ Paris 09, F-75775 Paris, France

[3] ESSEC, F-75775 Paris, France

[4] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA

[5] Univ Paris 06, Lab Prob & Modeles Aleatoires, F-75252 Paris, France

[6] Univ Paris 07, F-75221 Paris, France

来源：

QUANTITATIVE FINANCE | 2004年 / 4卷 / 05期

关键词：

D O I：

10.1080/14697680400024921

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We define the class of local Levy processes. These are Levy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded option prices of all strikes and maturities. The local Levy processes generalize the class of local volatility models. Closed forms for local speed functions for a variety of cases are also presented. Numerical methods for recovery are also described.

引用

页码：581 / 588

页数：8

共 24 条

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[2]

Andersen L., 1999, RISK NOV, P65

[3]

[Anonymous], 1988, LECT NOTES MATH

[4]

[Anonymous], 1998, Levy Processes