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

页码：551 / 556

页数：6

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