论文标题
无限尺寸赫斯顿模型中的灵敏度分析
Sensitivity analysis in the infinite dimensional Heston model
论文作者
论文摘要
我们考虑\ arxiv中提出的无限尺寸赫斯顿随机波动率模型：1706：03500。非遗产商品的远期合同的价格是通过这种波动性在菲利波维奇空间中普遍的Ornstein-uhlenbeck工艺建模的。我们证明了远期价格的不同表示公式。然后，我们考虑在这些远期合同上写的期权价格，并通过对模型中不同参数进行计算来研究灵敏度分析。由于这些参数是无限的维度，因此我们需要重新解释希腊人的含义。为此，我们使用无限的尺寸Malliavin演算和随机化技术。
We consider the infinite dimensional Heston stochastic volatility model proposed in \arXiv:1706:03500. The price of a forward contract on a non-storable commodity is modelled by a generalized Ornstein-Uhlenbeck process in the Filipović space with this volatility. We prove different representation formulas for the forward price. Then we consider prices of options written on these forward contracts and we study sensitivity analysis with computation of the Greeks with respect to different parameters in the model. Since these parameters are infinite dimensional, we need to reinterpret the meaning of the Greeks. For this we use infinite dimensional Malliavin calculus and a randomization technique.
