Risk premium and fair option prices under stochastic volatility: the HARA solution

被引：21
|
作者：
Stojanovic, SD [1 ]
机构：
[1] Univ Cincinnati, Dept Math Sci, Cincinnati, OH 45221 USA
来源：
COMPTES RENDUS MATHEMATIQUE | 2005年 / 340卷 / 07期
关键词：
D O I：
10.1016/j.crma.2004.11.002
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We have solved the problem of finding (HARA) fair option price under a general stochastic volatility model. For a given HARA utility, the 'risk premium', i.e., the 'market price of volatility risk' is determined via a solution of a certain nonlinear PDE. Equivalently, the fair option price is determined as a solution of an uncoupled system of a non-linear PDE and a Black-Scholes type PDE. (c) 2004 Academie des sciences. Published by Elsevier SAS. All rights reserved.
引用
收藏
页码：551 / 556
页数：6
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