Orthogonal polynomial expansions for the valuation ofoptions under the stochastic volatility models with stochastic correlation  

作　　者：Kevin Z.Tong 

机构地区：[1]Department of Mathematics and Statistics,University of Ottawa,585 King Edward,Ottawa,Ontario,K1N 6N5,Canada

出　　处：《Journal of Management Science and Engineering》2024年第2期239-253,共15页管理科学学报（英文版）

摘　　要：This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation.Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be efficiently computed via orthogonal polynomial expansions.We take the Heston and Schöbel-Zhu models with stochastic correlation as two specific examples and are able to derive the analytical formulas for the option prices.We also illustrate the accuracy of the proposed method through a number of numerical experiments.

关 键 词：Orthogonal polynomial expansions Polynomial diffusions Stochastic correlation Jacobi process Stochastic volatility 

分 类 号：F831.51[经济管理—金融学] F764.1F713.35