论文标题
船体和白色和Alòs类型公式用于非零相关性随机波动率模型中的屏障选项
Hull and White and Alòs type formulas for barrier options in stochastic volatility models with nonzero correlation
论文作者
论文摘要
在随机波动率模型中，有两个新型的封闭式公式，具有零利率和股息收益率，但资产及其瞬时波动率之间的非零相关性。第一个是船体和白色类型的公式，第二个是分解公式的形式，类似于香草选项的Alòs分解。还给出了无模型的近似值。
Two novel closed-form formulas for the price of barrier options in stochastic volatility models with zero interest rate and dividend yield but nonzero correlation between the asset and its instantaneous volatility are derived. The first is a Hull and White type formula, and the second is a decomposition formula similar in form to the Alòs decomposition for vanilla options. A model-free approximation is also given.
