搜索结果: 1-2 共查到“市场学 Stochastic Volatility Models”相关记录2条 . 查询时间(0.062 秒)
On Calibrating Stochastic Volatility Models with time-dependent Parameters
Calibrating Stochastic Volatility Models time-dependent Parameters
2010/10/22
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical resu...
Valuation equations for stochastic volatility models
Valuation equations stochastic volatility models
2010/10/20
We study the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models. The standard Feynman-Kac theorem cannot be directly applied ...