计量经济学
随机波动
伦德曼-巴特模型
利率
期权估价
库存(枪支)
经济
反演(地质)
波动性(金融)
数学
隐含波动率
傅里叶变换
股票期权
随机过程
SABR波动模型
布莱克-斯科尔斯模型
波动微笑
随机建模
金融经济学
傅里叶分析
股票价格
远期波动率
概率分布
短期利率模型
标识
DOI:10.1111/1467-9965.00039
摘要
Fast closed form solutions for prices on European stock options are developed in a jump‐diffusion model with stochastic volatility and stochastic interest rates. The probability functions in the solutions are computed by using the Fourier inversion formula for distribution functions. The model is calibrated for the S and P 500 and is used to analyze several effects on option prices, including interest rate variability, the negative correlation between stock returns and volatility, and the negative correlation between stock returns and interest rates.
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