论文标题
在随机波动下通过Mellin Transform在随机波动下的定价路径依赖性选项
Pricing Path-dependent Options under Stochastic Volatility via Mellin Transform
论文作者
论文摘要
在本文中，我们通过使用渐近方法来得出壁垒和浮动罢工的一阶近似封闭形式公式，以使期权价格在随机波动率模型下放置。为了找到零级项和一阶校正项的显式闭合格式公式，我们使用Mellin Transform。我们还对这些公式进行了灵敏度分析，并将其计算出的期权价格与蒙特卡洛模拟产生的期权价格进行了比较。
In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility model, by using an asymptotic approach. To find the explicit closed-form formulas for the zero-order term and the first-order correction term, we use Mellin transform. We also conduct a sensitivity analysis on these formulas, and compare the option prices calculated by them with those generated by Monte-Carlo simulation.
