Add to ORKG本論文は，商品市場では標準的となっている平均オプション(Average Option) の価格評価に関し，2 つの確率ボラティリティ・モデル，Heston モデルとλ-SABR モデルの下で漸近展開を用いた近似評価式を導出し，数値例によりその精度を検証する．This paper derives an approximation formula for average options under two stochastic volatility models such as Heston and λ(Lambda)-SABR models by using an asymptotic expansion method. Moreover, numerical examples with various parameters some of which are obtained by calibration to WTI futures options prices in NYMEX confirm the effectiveness of our formula.本文フィルはリンク先を参照のこ
Due to the development of the pricing theory, options, as one of the most important financial deriva...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
在Black-Scholes 的模型下，股價的波動率假設為已知的常數。但在現實的世界裡波動率則非為常數。許多模型對此現象的解釋為波動率是隨機變動的，因此有許多選擇權模型建立在隨機波動率上。 Hilli...
This paper proposes a new approximation method of pricing barrier and average options under stochast...
This paper proposes a new approximation method of pricing barrier and average options under stochast...
Treball fi de màster de: Master's Degree in Economics and FinanceDirectors: Filippo Ippolito ; Eulàl...
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier op...
[[abstract]]本文主要專注於探討隨機波動效果對波動指數及波動度的衍生性商品之影響。我們分別對隨機波動模型下的VIX及VIX期貨做評價。實證研究上，我們利用一般動差法(GMM)及非線性最小平方...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
In this paper we develop a general method for deriving closed-form approximations of European option...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
This paper proposes a new approximation formula for pricing average options on commodities under a s...
在Black-Scholes 的模型下，股價的波動率假設為已知的常數。但在現實的世界裡波動率則非為常數。許多模型對此現象的解釋為波動率是隨機變動的，因此有許多選擇權模型建立在隨機波動率上。 Hilli...
This paper proposes a new approximation method of pricing barrier and average options under stochast...
This paper proposes a new approximation method of pricing barrier and average options under stochast...
Treball fi de màster de: Master's Degree in Economics and FinanceDirectors: Filippo Ippolito ; Eulàl...
This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier op...
[[abstract]]本文主要專注於探討隨機波動效果對波動指數及波動度的衍生性商品之影響。我們分別對隨機波動模型下的VIX及VIX期貨做評價。實證研究上，我們利用一般動差法(GMM)及非線性最小平方...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
The purpose of this thesis is to review the evidence of non-constant volatility and to consider the ...
In this paper we develop a general method for deriving closed-form approximations of European option...
Due to the development of the pricing theory, options, as one of the most important financial deriva...
This paper examines alternative methods for pricing options when the underlying security volatilit...
This paper examines alternative methods for pricing options when the underlying security volatilit...