数学
期权估价
独特性
非线性系统
多元统计
波动性(金融)
应用数学
参数统计
数学优化
计量经济学
数学分析
统计
量子力学
物理
作者
Zhengguang Shi,Pin Lyu,Jingtang Ma
标识
DOI:10.1016/j.camwa.2022.05.039
摘要
This paper studies the efficient methods for option pricing under multivariate rough volatility models. The characteristic functions of the asset log-price, which play important role in the option pricing under the multivariate rough volatility models, are determined by a system of parametric nonlinear fractional Riccati equations. This paper obtains the results on the existence, uniqueness and regularity of the solutions to the parametric nonlinear fractional Riccati equations, proposes a high-order scheme to solve the system and proves the high-order convergence. The option pricing problem is solved by the Fourier-cosine formula with the fast approximation of the characteristic functions. Numerical examples are carried out to confirm the theoretical results and show efficiency of the methods.
科研通智能强力驱动
Strongly Powered by AbleSci AI