论文标题
3/2模型的显式解决方案模拟方法
Explicit solution simulation method for the 3/2 model
论文作者
论文摘要
获得了3/2随机波动率模型的明确弱解决方案，并用于开发用于期权定价目的的仿真算法。 3/2模型是一种非疗法随机波动率模型，其方差过程是CIR过程的倒数。在此处利用此属性以获得明确的弱解决方案，类似于Kouritzin（2018）。提出了基于此解决方案的仿真算法，并通过数值示例进行了测试。所得定价算法的性能与其他流行的仿真算法相当。
An explicit weak solution for the 3/2 stochastic volatility model is obtained and used to develop a simulation algorithm for option pricing purposes. The 3/2 model is a non-affine stochastic volatility model whose variance process is the inverse of a CIR process. This property is exploited here to obtain an explicit weak solution, similarly to Kouritzin (2018). A simulation algorithm based on this solution is proposed and tested via numerical examples. The performance of the resulting pricing algorithm is comparable to that of other popular simulation algorithms.
