论文标题
分数Heston型模型的Malliavin可不同性和期权定价的应用
Malliavin differentiability of fractional Heston-type model and applications to option pricing
论文作者
论文摘要
本文将分数Heston-type（FHT）模型定义为无套利的金融市场模型，其无限返回波动率由单个随机方程的平方与Hurst parameter h（0，1）中的Hurst参数H所描述。我们扩展了Alos和[Alos，E。和Ewald，C。O.（2008）的想法。 Heston波动率的Malliavin可不同性和对期权定价的应用。应用概率的进步，40（1），144-162。进行股票价格过程和期权价格的一些模拟。
This paper defines fractional Heston-type (fHt) model as an arbitrage-free financial market model with the infinitesimal return volatility described by the square of a single stochastic equation with respect to fractional Brownian motion with Hurst parameter H in (0, 1). We extend the idea of Alos and [Alos, E., & Ewald, C. O. (2008). Malliavin differentiability of the Heston volatility and applications to option pricing. Advances in Applied Probability, 40(1), 144-162.] to prove that fHt model is Malliavin differentiable and deduce an expression of expected payoff function having discontinuity of any kind. Some simulations of stock price process and option prices are performed.
