APPLICATION OF MALLIAVIN CALCULUS TO EXACT AND APPROXIMATE OPTION PRICING UNDER STOCHASTIC VOLATILIY

被引：0
|
作者：
Kuchuk-yatsenko, S. V. [1 ,2 ]
Mishura, Y. S. [1 ,2 ]
Munchak, Y. Y. [1 ,2 ]
机构：
[1] Taras Shevchenko Natl Univ, Dept Integral & Different Equat Mech & Math Fac, Kiev, Ukraine
[2] Taras Shevchenko Natl Univ Kyiv, Dept Math Anal Mech & Math Fac, Kiev, Ukraine
来源：
THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2016年 / 94卷
关键词：
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The article is devoted to models of financial markets with stochastic volatility, which is defined by a functional of Ornstein-Uhlenbeck process or Cox-Ingersoll-Ross process. We study the question of exact price of European option. The form of the density function of the random variable, which expresses the average of the volatility over time to maturity is established using Malliavin calculus. The result allows us to calculate the price of the option with respect to minimum martingale measure when the Wiener process driving the evolution of asset price and the Wiener process, which defines volatility, are uncorrelated.
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页码：93 / 115
页数：23
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