Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题)
为深入研究固定收益衍生品的定价问题，在波动率为相应的远期测度下的Ornstein-Uhlenbeck过程的模型框架下，给出了利率上限和债券期权的定价公式.同时，应用Homotopy方法解决了定价公式中产生的偏微分方程，使其以函数级数和的形式表示出来.并对级数和形式的解的收敛性进行了相应的分析....
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2013-09-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2013.05.009 |
| _version_ | 1797235972842192896 |
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| author | LIShao-yu(李劭郁) ZHANGShu-guang(张曙光) BIXiu-chun(毕秀春) |
| author_facet | LIShao-yu(李劭郁) ZHANGShu-guang(张曙光) BIXiu-chun(毕秀春) |
| author_sort | LIShao-yu(李劭郁) |
| collection | DOAJ |
| description | 为深入研究固定收益衍生品的定价问题，在波动率为相应的远期测度下的Ornstein-Uhlenbeck过程的模型框架下，给出了利率上限和债券期权的定价公式.同时，应用Homotopy方法解决了定价公式中产生的偏微分方程，使其以函数级数和的形式表示出来.并对级数和形式的解的收敛性进行了相应的分析. |
| first_indexed | 2024-04-24T16:56:27Z |
| format | Article |
| id | doaj.art-e202cc17ff8b47c0898d6a0cbce9a4f3 |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T16:56:27Z |
| publishDate | 2013-09-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-e202cc17ff8b47c0898d6a0cbce9a4f32024-03-29T01:58:32ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972013-09-0140552152510.3785/j.issn.1008-9497.2013.05.009Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题)LIShao-yu(李劭郁)0ZHANGShu-guang(张曙光)1BIXiu-chun(毕秀春)2Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学 统计与金融系，安徽 合肥 230026)Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学 统计与金融系，安徽 合肥 230026)Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学 统计与金融系，安徽 合肥 230026)为深入研究固定收益衍生品的定价问题，在波动率为相应的远期测度下的Ornstein-Uhlenbeck过程的模型框架下，给出了利率上限和债券期权的定价公式.同时，应用Homotopy方法解决了定价公式中产生的偏微分方程，使其以函数级数和的形式表示出来.并对级数和形式的解的收敛性进行了相应的分析.https://doi.org/10.3785/j.issn.1008-9497.2013.05.009金融工程利率衍生品定价homotopy远期libor模型随机波动率 |
| spellingShingle | LIShao-yu(李劭郁) ZHANGShu-guang(张曙光) BIXiu-chun(毕秀春) Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) Zhejiang Daxue xuebao. Lixue ban 金融工程 利率衍生品定价 homotopy 远期libor模型 随机波动率 |
| title | Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) |
| title_full | Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) |
| title_fullStr | Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) |
| title_full_unstemmed | Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) |
| title_short | Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题) |
| title_sort | homotopy analysis for derivatives pricing in a libor market model with stochastic volatility 用homotopy方法解随机波动率远期libor模型中利率衍生品定价问题 |
| topic | 金融工程 利率衍生品定价 homotopy 远期libor模型 随机波动率 |
| url | https://doi.org/10.3785/j.issn.1008-9497.2013.05.009 |
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