91直播

91直播：蒋萍萍 副教授（苏州大学）

时间：2025年04月24日 15:00-

地点：理科楼LA103

摘要：We investigate analytical solvability of Non-Affine stochastic volatility model by deriving the conditional moment generating function of the log-asset price. The model nests GARCH SV model, XGBM SV model, Hull-White SV model and SABR SV model. We then combine our theoretical results, the Hilbert transform method, various interpolation techniques, with the dimension reduction technique to propose simulation schemes for solvable models with Non-Affine SV. In contrast to traditional exact simulation methods, our approach maintains good accuracy, and enables efficient pricing. Finally, extensive numerical results demonstrate that our method is highly accurate, efficient, simple to implement, and widely applicable.

邀请人: 张志民

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