论文标题
LévyProcess框架下的Heston-Cir模型的外汇选择
Foreign exchange options on Heston-CIR model under Lévy process framework
论文作者
论文摘要
在本文中，我们通过提供一种更适合价格分配的新公式，考虑了外汇（FX）市场定价的Heston-Cir模型。首先，我们研究了该模型解决方案的存在和独特性。其次，我们研究了Lévy过程与随机国内短期利率，外国短期利率和随机波动性的强烈融合。然后，我们将最小二乘蒙特卡洛（LSM）方法应用于我们的模型，以随机波动性和随机利率定价。最后，通过考虑实际的市场数据，我们说明了四因素Heston-CirLévy模型的数值结果。
In this paper, we consider the Heston-CIR model with Lévy process for pricing in the foreign exchange (FX) market by providing a new formula that better fits the distribution of prices. To do that, first, we study the existence and uniqueness of the solution to this model. Second, we examine the strong convergence of the Lévy process with stochastic domestic short interest rates, foreign short interest rates and stochastic volatility. Then, we apply Least Squares Monte Carlo (LSM) method for pricing American options under our model with stochastic volatility and stochastic interest rate. Finally, by considering real-world market data, we illustrate numerical results for the four-factor Heston-CIR Lévy model.
