论文标题
部分可观测时空混沌系统的无模型预测
Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model
论文作者
论文摘要
我们研究了分数随机波动率模型下定价衍生物的问题。我们获得了派生价格的近似表达，其中随机波动率可以由时间和分数Ornstein-uhlenbeck过程组成。给出数值模拟以说明近似值的可行性和可操作性，还证明了远程对衍生价格的影响。
We investigate the problem of pricing derivatives under a fractional stochastic volatility model. We obtain an approximate expression of the derivative price where the stochastic volatility can be composed of deterministic functions of time and fractional Ornstein-Uhlenbeck process. Numerical simulations are given to illustrate the feasibility and operability of the approximation, and also demonstrate the effect of long-range on derivative prices.
