论文标题
具有CEV型工艺的高度非线性均值回复资产价格模型的数值方法
Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process
论文作者
论文摘要
从各种经验研究中可以很好地证明，资产价格动态的波动过程是随机的。这种现象要求采用一种新的方法来描述随机模型随时间的挥发性随机演变。在本文中，我们为资产价格动力学提出了一个均值的theta-rho模型，其中该模型的波动性扩散因子遵循高度非线性的CEV型过程。由于该模型缺乏封闭形式的公式，因此我们构建了一种新的截短EM方法，以在Khasminskii-Type条件下进行数值研究。我们证明，截短的EM解决方案可用于评估依赖路径的金融产品。
It is well documented from various empirical studies that the volatility process of an asset price dynamics is stochastic. This phenomenon called for a new approach to describing the random evolution of volatility through time with stochastic models. In this paper, we propose a mean-reverting theta-rho model for asset price dynamics where the volatility diffusion factor of this model follows a highly non-linear CEV-type process. Since this model lacks a closed-form formula, we construct a new truncated EM method to study it numerically under the Khasminskii-type condition. We justify that the truncated EM solutions can be used to evaluate a path-dependent financial product.
