Asymptotic Expansion Pricing of Discretely Monitored Barrier Options under Stochastic Volatilities with Jumps
主 题: Asymptotic Expansion Pricing of Discretely Monitored Barrier Options under Stochastic Volatilities with Jumps
报告人: 史钞 (上海财经大学)
时 间: 2017-03-16 16:00 - 17:00
地 点: 理科一号楼1114
报告人简介：史钞Assistant Professor，上海财经大学
2005级本科，2007年-2009年金融数学系本科学习，此后于香港科技大学获博士学位，导师为williamhill官网员工蔡宁教授。2016年起在上海财经大学信息管理与工程学院任教。研究兴趣为金融衍生品定价、Malliavin随机变分法、量化投资、风险管理。曾在Mathematics of Operations Research, StochasticSystems等国际著名期刊发表论文，担任Operations Research, European Journal ofOperational Research, Operations Research Letters等国际著名期刊评委，主持国家自然科学基金项目一项。
【报告摘要】：Based on the theory of Malliavin Calculus, wepropose an expansion algorithm for pricing discretely monitored barrier optionsunder stochastic volatilities with jumps, and design an automatic expansionprocedure to output the expansion formulas up to any pre-specified order. Itturns out that the celebrated Hilbert transform recursion algorithm proposed byFeng and Linetsky (2008) becomes the leading term and building block in ourexpansion formula under stochastic volatilities with jumps. Our expansions areautomatic and fast. Numerical results show that our algorithm is accurate andefficient.
