Pricing rule based on non-arbitrage arguments for random volatility and volatility smile
概率论
2008-12-02 v1 最优化与控制
证券定价
摘要
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that gives Black-Scholes price for at-money options and such that the market is arbitrage free for any number of tradable options, even if there are two Brownian motions only: one drives the stock price, the other drives the volatility process. This problem is reduced to solving a parabolic equation.
引用
@article{arxiv.math/0205120,
title = {Pricing rule based on non-arbitrage arguments for random volatility and volatility smile},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:math/0205120},
year = {2008}
}
备注
18 pages