Option valuation based on volatility decomposition

被引：0
|
作者：
Zhou R. [1 ]
机构：
[1] Department of System Research & Development, Orient Securities Company Limited, Shanghai
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2018年 / 38卷 / 08期
关键词：
Option pricing; Skewness and kurtosis; Stochastic volatility; Volatility decomposition;
D O I：
10.12011/1000-6788(2018)08-1919-11
中图分类号：
学科分类号：
摘要：
Through decomposing the volatility of underlying asset into two uncorrelated components,this article constructs a new option pricing model and resolves the option price formula. After analyzing skewness and kurtosis of underlying asset return, and studying implied volatility of option under the new model, this work calibrates model parameters using the market data. The result of study shows that new model can be suitable for volatility components with different evolution processes, it can generate substantial degree of excess kurtosis and depth of volatility smile even for options with short maturity, and it has more pricing effectiveness by introducing new risk factor. © 2018, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：1919 / 1929
页数：10
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