Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

Niloofar Ghorbani; Andrzej Korzeniowski

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Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

机译：Cox-Ingersoll-Ross利率下的呼叫选项的自适应风险对冲

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We present a solution to the problem posed by Zhang et al . [1] regarding Call Option price C_(T) under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for C_(T) by expected value of the path-integral along a square functional of n -dimensional Ornstein-Uhlenbeck process is derived. The method is suitable for Monte-Carlo simulation and illustrated by an example.

机译：我们向张等人提出的问题提出了解决方案。 [1]关于CIR过程建模的随机利率下线性投资下调呼叫期权价格C_（T）。推导出沿着N -Dimensional-uhlenbeck过程的正方形功能的路径积分的预期值的C_（t）的闭合形式表示。该方法适用于Monte-Carlo模拟并通过示例说明。

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《Journal of Mathematical Finance》 |2020年第04期|共8页
作者
Niloofar Ghorbani; Andrzej Korzeniowski;
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European Call OptionLinear Stock Investment StrategyCox-Ingersoll-Ross ModelOrnstein-Uhlenbeck ProcessNumeraire and Martingale Measure;

机译：欧洲电话替换股份有限公司股票投资策略COX-Ingersoll-Ross Modelornstein-Uhlenbeck Processnumeraire和Martingale措施;

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7. Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates [O] . Niloofar Ghorbani, Andrzej Korzeniowski 2020

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Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

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