Multi-Asset Option Pricing Models Under Uncertain Volatility

摘要：

　　The assumption of constant underlying volatility in multi-asset option formula cannot be satisfied in financial market.In this paper,we find the multi-asset option price intervals assuming the underlying volatilities lie within given intervals.First we transform this financial problem into a stochastic optimal control problem,then obtain multi-asset options’ maximum and minimum price models through dynamic programming principle.We then discuss how to solve the nonlinear PDE model and how to narrow the price interval through optimal static hedging.We conclude this paper by giving its applications in commercial bank structured financial products,comparing with constant volatility pricing model.

关键词： multi-asset option pricing model stochastic optimal control price interval structured financial products

作者: Du Yulin

作者单位: Business School , East China University of Political and Science of Law Shanghai, China ,201620

会议类型: 国际会议

会议名称: The 6th International Conference on Financial Risk and Corporate Finance Management(第六届(2014)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 309-313

在线出版日期: 2014-06-30（万方平台首次上网日期，不代表论文的发表时间）