对于具有随机长期平均差异和跳跃的赫斯顿模型的方差交换的分析解决方案
1School of Mathematics, Southwestern University of Finance and Economics, Chengdu, China.
PloS one
|March 25, 2025
概括
本研究引入了根据赫斯顿模型的波动交换的新定价公式,其中包括跳跃和随机长期平均值. 数字模拟证实了这些公式对离散和连续采样的准确性.
科学领域:
- 量化金融 量化金融
- 金融衍生工具 金融衍生工具
- 随机模型建模 随机模型建模
背景情况:
- 差异互换是关键的金融衍生工具.
- 现有的模型往往简化了资产价格动态.
- 结合跳跃和随机长期平均值可以提高模型的现实性.
研究的目的:
- 导出差异互换的准确定价公式.
- 扩展赫斯顿模型,包括跳跃和随机长期平均值.
- 为离散和连续采样差异交换提供框架.
主要方法:
- 利用费曼-卡克定理来导出一个局部整微分方程 (PIDE).
- 获得了增强的赫斯顿模型的联合动量产生功能.
- 开发一系列定价公式,用于离散样本的差异交换.
主要成果:
- 在赫斯顿模型中使用跳跃和随机长期平均值的差异交换的新型定价公式.
- 一个封闭形式的解决方案,用于连续采样差异交换的限制情况.
- 数字模拟验证价格公式与蒙特卡洛方法相比.
结论:
- 衍生的定价公式是有效和准确的.
- 该模型捕捉了与差异交换价格相关的复杂资产动态.
- 参数灵敏度分析提供了对差异交换交易的 strike 价格决定的洞察力.
相关概念视频
Variance
9.2K
The deviations show how spread out the data are about the mean. A positive deviation occurs when the data value exceeds the mean, whereas a negative deviation occurs when the data value is less than the mean. If the deviations are added, the sum is always zero. So one cannot simply add the deviations to get the data spread. By squaring the deviations, the numbers are made positive; thus, their sum will also be positive.
The standard deviation measures the spread in the same units as the...
The standard deviation measures the spread in the same units as the...
9.2K
Parameters Affecting Nonlinear Elimination: Zero-Order Input, First-Order Absorption and Two-Compartment Model
31
Drugs administered through various routes can lead to nonlinear elimination, resulting in complex pharmacokinetic behaviors crucial to understanding efficacious drug dosing.
When a drug is administered through a constant intravenous infusion and eliminated via nonlinear pharmacokinetics, it follows zero-order input. For example, oral drugs undergo first-order absorption upon administration and are eliminated through nonlinear pharmacokinetics.
In the case of subcutaneously administered drugs,...
When a drug is administered through a constant intravenous infusion and eliminated via nonlinear pharmacokinetics, it follows zero-order input. For example, oral drugs undergo first-order absorption upon administration and are eliminated through nonlinear pharmacokinetics.
In the case of subcutaneously administered drugs,...
31
Friedman Two-way Analysis of Variance by Ranks
125
Friedman's Two-Way Analysis of Variance by Ranks is a nonparametric test designed to identify differences across multiple test attempts when traditional assumptions of normality and equal variances do not apply. Unlike conventional ANOVA, which requires normally distributed data with equal variances, Friedman's test is ideal for ordinal or non-normally distributed data, making it particularly useful for analyzing dependent samples, such as matched subjects over time or repeated measures...
125
One-Compartment Open Model: Wagner-Nelson and Loo Riegelman Method for ka Estimation
286
This lesson introduces two critical methods in pharmacokinetics, the Wagner-Nelson and Loo-Riegelman methods, used for estimating the absorption rate constant (ka) for drugs administered via non-intravenous routes. The Wagner-Nelson method relates ka to the plasma concentration derived from the slope of a semilog percent unabsorbed time plot. However, it is limited to drugs with one-compartment kinetics and can be impacted by factors like gastrointestinal motility or enzymatic degradation.
On...
On...
286
Parametric Survival Analysis: Weibull and Exponential Methods
309
Parametric survival analysis models survival data by assuming a specific probability distribution for the time until an event occurs. The Weibull and exponential distributions are two of the most commonly used methods in this context, due to their versatility and relatively straightforward application.
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
309
Variability: Analysis
124
Measures of variability are statistical metrics that reveal the dispersion pattern within a dataset. They are pivotal in biostatistics, providing insights into the heterogeneity within health and biological data. Variability signifies the degree to which data points diverge from one another, helping researchers understand the potential range of values and associated uncertainty within the data.
The range is a simple measure of variability, indicating the difference between the highest and...
The range is a simple measure of variability, indicating the difference between the highest and...
124


