フナハシ ヒデハル   Funahashi Hideharu
  舟橋 秀治
   所属   神奈川大学  経済学部 経済学科/現代ビジネス学科
   職種   准教授
言語種別 英語
発行・発表の年月 2014/11
形態種別 学術雑誌
査読 査読あり
標題 Funahashi H (2014), "A Chaos Expansion Approximation under Hybrid Volatility Models," Quantitative Finance, 14(11), 1923-1936
執筆形態 単著
掲載誌名 Quantitative Finance
掲載区分国外
巻・号・頁 14(11),pp.1923-1936
著者・共著者 Hideharu Funahashi
概要 In this paper, we propose an approximation method based on the Wiener-Ito chaos expansion for the pricing of European contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic volatility models and their combinations. This method is useful in practice since the resulting approximation formula is not computationally expensive, hence it is suitable for calibration purposes. We will show through some numerical examples that our approximation remains quite good even for the long maturity and/or the high volatility cases, which is a desired feature. As an example, we propose a hybrid volatility model and apply our approximation formula to the JPY/USD currency option market obtaining very accurate results.