ワーキングペーパー

数量ファイナンス

F-series

作成:

番号:CARF-F-377

An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Subsequently published in Stochastics)

著者:Kenichiro Shiraya, Akihiko Takahashi

Abstract

This paper develops an asymptotic expansion method for general stochastic differential equations (SDEs) with jumps and their functions. By applying the method, we derive an explicit approximation formula for pricing options on functions of multiple assets under localstochastic volatility with jump models. Moreover, we present numerical examples for pricing basket options based on the parameters calibrated to the actual market data, which confirms the validity of our method in practice.