The first hitting time of stochastic volatility models(随机波动模型的首中时问题)
研究了一类波动率是平方根过程的随机波动CEV模型的首中时问题.利用鞅方法求解首中时和波动率的联合拉普拉斯变换，继而将问题转换为求解一类变系数二阶常微分方程，通过变量代换将此方程转化为经典的Whittaker方程，得到联合拉普拉斯变换表达式.最后，选取不同的参数，使随机波动CEV模型的资产价格过程能够涵盖O-U过程、几何布朗运动、平方根过程等几种常见的扩散过程，画出不同参数下联合拉普拉斯变换函数的三维图像，并分析其变化趋势....
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2017-05-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2017.03.009 |
| _version_ | 1797235796277723136 |
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| author | ZHANGMiao(张苗) LIUHui(刘晖) ZHANGFeilong(张飞龙) |
| author_facet | ZHANGMiao(张苗) LIUHui(刘晖) ZHANGFeilong(张飞龙) |
| author_sort | ZHANGMiao(张苗) |
| collection | DOAJ |
| description | 研究了一类波动率是平方根过程的随机波动CEV模型的首中时问题.利用鞅方法求解首中时和波动率的联合拉普拉斯变换，继而将问题转换为求解一类变系数二阶常微分方程，通过变量代换将此方程转化为经典的Whittaker方程，得到联合拉普拉斯变换表达式.最后，选取不同的参数，使随机波动CEV模型的资产价格过程能够涵盖O-U过程、几何布朗运动、平方根过程等几种常见的扩散过程，画出不同参数下联合拉普拉斯变换函数的三维图像，并分析其变化趋势. |
| first_indexed | 2024-04-24T16:53:39Z |
| format | Article |
| id | doaj.art-514c8b232ffa44188c5ee03b80516f9e |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T16:53:39Z |
| publishDate | 2017-05-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-514c8b232ffa44188c5ee03b80516f9e2024-03-29T01:58:37ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972017-05-0144329630110.3785/j.issn.1008-9497.2017.03.009The first hitting time of stochastic volatility models(随机波动模型的首中时问题)ZHANGMiao(张苗)0https://orcid.org/0000-0003-1640-3173LIUHui(刘晖)1ZHANGFeilong(张飞龙)2 1.School of Mathematics and Statistics, Xidian University, Xi'an 710126, China( 1.西安电子科技大学数学与统计学院，陕西 西安 710126) 2.School of Earth and Space Scienecs, Peking University, Beijing 100871, China( 2.北京大学地球与空间科学学院，北京 100871) 3.School of Physics and Optoelectronic Engineering, Xidian University, Xi'an 710126, China( 3.西安电子科技大学物理与光电工程学院，陕西 西安 710126)研究了一类波动率是平方根过程的随机波动CEV模型的首中时问题.利用鞅方法求解首中时和波动率的联合拉普拉斯变换，继而将问题转换为求解一类变系数二阶常微分方程，通过变量代换将此方程转化为经典的Whittaker方程，得到联合拉普拉斯变换表达式.最后，选取不同的参数，使随机波动CEV模型的资产价格过程能够涵盖O-U过程、几何布朗运动、平方根过程等几种常见的扩散过程，画出不同参数下联合拉普拉斯变换函数的三维图像，并分析其变化趋势.https://doi.org/10.3785/j.issn.1008-9497.2017.03.009随机波动cev模型首中时鞅方法联合拉普拉斯变换whittaker方程 |
| spellingShingle | ZHANGMiao(张苗) LIUHui(刘晖) ZHANGFeilong(张飞龙) The first hitting time of stochastic volatility models(随机波动模型的首中时问题) Zhejiang Daxue xuebao. Lixue ban 随机波动cev模型 首中时 鞅方法 联合拉普拉斯变换 whittaker方程 |
| title | The first hitting time of stochastic volatility models(随机波动模型的首中时问题) |
| title_full | The first hitting time of stochastic volatility models(随机波动模型的首中时问题) |
| title_fullStr | The first hitting time of stochastic volatility models(随机波动模型的首中时问题) |
| title_full_unstemmed | The first hitting time of stochastic volatility models(随机波动模型的首中时问题) |
| title_short | The first hitting time of stochastic volatility models(随机波动模型的首中时问题) |
| title_sort | first hitting time of stochastic volatility models 随机波动模型的首中时问题 |
| topic | 随机波动cev模型 首中时 鞅方法 联合拉普拉斯变换 whittaker方程 |
| url | https://doi.org/10.3785/j.issn.1008-9497.2017.03.009 |
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