论文标题
通过完全参数化的本地波动率模型，有效，准确地校准FX市场偏斜
Efficient and Accurate Calibration to FX Market Skew with Fully Parameterized Local Volatility Model
论文作者
论文摘要
在FX衍生品市场中交易美国和亚洲期权时，银行必须使用复杂的数学模型来计算价格。通常观察到，不同模型的价格为同一异国情调的选择产生不同的价格，这违反了衍生风险管理的非肢体要求。为了解决这个问题，我们研究了一个完全参数化的本地波动率模型，用于定价美国/亚洲选项。当使用网格或蒙特卡洛数值方法实施该模型时，可以有效，准确地校准FX市场偏斜波动。结果，该模型可以在日常交易活动中为异国选择提供可靠的价格。
When trading American and Asian options in the FX derivatives market, banks must calculate prices using a complex mathematical model. It is often observed that different models produce varying prices for the same exotic option, which violates the non-arbitrage requirement of derivative risk management. To address this issue, we have studied a fully parameterized local volatility model for pricing American/Asian options. This model, when implemented using a grid or Monte-Carlo numerical method, can be efficiently and accurately calibrated to FX market skew volatilities. As a result, the model can provide reliable prices for exotic options during daily trading activities.
