Homotopy analysis for derivatives pricing in a LIBOR market model with stochastic volatility(用Homotopy方法解随机波动率远期LIBOR模型中利率衍生品定价问题)

Affiliations

LIShao-yu(李劭郁): Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学统计与金融系，安徽　合肥　230026)
ZHANGShu-guang(张曙光): Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学统计与金融系，安徽　合肥　230026)
BIXiu-chun(毕秀春): Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China(中国科学技术大学统计与金融系，安徽　合肥　230026)

Abstract

为深入研究固定收益衍生品的定价问题，在波动率为相应的远期测度下的Ornstein-Uhlenbeck过程的模型框架下，给出了利率上限和债券期权的定价公式.同时，应用Homotopy方法解决了定价公式中产生的偏微分方程，使其以函数级数和的形式表示出来.并对级数和形式的解的收敛性进行了相应的分析.

ISSN: 1008-9497 (Print)
Publisher: Zhejiang University Press
Country of publisher: China
LCC subjects: Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Science: Physics
Website: https://www.zjujournals.com/sci/EN/1008-9497/home.shtml