论文标题
在随机利率下的期权定价的矩匹配方法
A moment matching method for option pricing under stochastic interest rates
论文作者
论文摘要
在本文中，我们提出了一种简单但新的近似方法，用于在黑色\＆Scholes市场中定价以随机利率为特征。该方法基于适用于有条件的黑色\＆Scholes公式的直接高斯矩匹配技术，非常笼统，并且适用于各种模型，无论是否仿射。为了检查其准确性和计算时间，我们使用蒙特卡洛模拟作为基准，为与基础相关的CIR利率模型实施了它。该方法的性能也非常引人注目，即使与Grzelak和Oosterlee（2011）中提出的仿射近似技术获得的类似结果以及Kim和Kim和Kunimoto（1999）中引入的扩展公式（1999年）中获得的类似结果相比。
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching technique applied to a conditional Black \& Scholes formula, is quite general and it applies to various models, whether affine or not. To check its accuracy and computational time, we implement it for the CIR interest rate model correlated with the underlying, using the Monte Carlo simulations as a benchmark. The method's performance turns out to be quite remarkable, even when compared with analogous results obtained by the affine approximation technique presented in Grzelak and Oosterlee (2011) and by the expansion formula introduced in Kim and Kunimoto (1999), as we show in the last section.
