Asset pricing with stochastic volatility

被引：3
|
作者：
Kallianpur, G [1 ]
Xiong, J
机构：
[1] Univ N Carolina, Dept Stat, Ctr Stochast Proc, Chapel Hill, NC 27599 USA
[2] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2001年 / 43卷 / 01期
关键词：
asset pricing; stochastic volatility; nonlinear filtering;
D O I：
10.1007/s002450010018
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper we study the asset pricing problem when the volatility is random. First, we derive a PDE for the risk-minimizing price of any contingent claim. Secondly, we assume that the volatility process sigma (t) is observed through an observation process Y-t subject to random error. A price formula and a PDE are then derived regarding the stock price S-t and the observation process Y-t as parameters. Finally, we assume that S-t is observed. In this case we have a complete market and any contingent claim is then priced by an arbitrage argument instead of by risk-minimizing.
引用
收藏
页码：47 / 62
页数：16
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