...为了更好地解释波动率微笑以及更准确地对金融衍生产品进行定价，Heston （1993）D2］考虑了随机波动率（Stochastic Volatility）模型，Bates（1996a，c）【13】和Scott（1997）［14】的文章研究了考虑了随机波动率和跳跃过程（SVJ）的期权定价模型。
基于60个网页-相关网页
考虑随机波动率下美式期权定价问题的数值模拟求解。
The numerical solution for pricing American options under stochastic volatility is considered.
本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
结果表明，均值回复和随机波动率在衍生品定价中起重要影响。
It also is shown that mean reversion and stochastic volatility can have a major impact on derivative prices.
应用推荐