اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدDeep calibration of rough stochastic volatility models
118
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
Sparked by Al`os, Leon, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz, and Gatheral (2016) constitute the latest evolution in option price modeling. Unlike standard bivariate diffusion models such as Heston (1993), these non-Markovian models with fractional volatility drivers allow to parsimoniously recover key stylized facts of market implied volatility surfaces such as the exploding power-law behaviour of the at-the-money volatility skew as time to maturity goes to zero. Standard model calibration routines rely on the repetitive evaluation of the map from model parameters to Black-Scholes implied volatility, rendering calibration of many (rough) stochastic volatility models prohibitively expensive since there the map can often only be approximated by costly Monte Carlo (MC) simulations (Bennedsen, Lunde, & Pakkanen, 2017; McCrickerd & Pakkanen, 2018; Bayer et al., 2016; Horvath, Jacquier, & Muguruza, 2017). As a remedy, we propose to combine a standard Levenberg-Marquardt calibration routine with neural network regression, replacing expensive MC simulations with cheap forward runs of a neural network trained to approximate the implied volatility map. Numerical experiments confirm the high accuracy and speed of our approach.
قيم البحث
اقرأ أيضاً
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between academics and practitioners due to their surprising con
sistency with financial markets. However, they bring several challenges alongside. Most noticeably, even simple non-linear financial derivatives as vanilla European options are typically priced by means of Monte-Carlo (MC) simulations which are more computationally demanding than similar MC schemes for standard stochastic volatility models. In this paper, we provide a proof of the prediction law for general Gaussian Volterra processes. The prediction law is then utilized to obtain an adapted projection of the future squared volatility -- a cornerstone of the proposed pricing approximation. Firstly, a decomposition formula for European option prices under general Volterra volatility models is introduced. Then we focus on particular models with rough fractional volatility and we derive an explicit semi-closed approximation formula. Numerical properties of the approximation for a popular model -- the rBergomi model -- are studied and we propose a hybrid calibration scheme which combines the approximation formula alongside MC simulations. This scheme can significantly speed up the calibration to financial markets as illustrated on a set of AAPL options.
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the origin. Another
classic stylistic feature often assumed for the volatility is that it is mean reverting. In this paper it is shown that the price impact of a rapidly mean reverting rough volatility model coincides with that associated with fast mean reverting Markov stochastic volatility models. This reconciles the empirical observation of rough volatility paths with the good fit of the implied volatility surface to models of fast mean reverting Markov volatilities. Moreover, the result conforms with recent numerical results regarding rough stochastic volatility models. It extends the scope of models for which the asymptotic results of fast mean reverting Markov volatilities are valid. The paper concludes with a general discussion of fractional volatility asymptotics and their interrelation. The regimes discussed there include fast and slow volatility factors with strong or small volatility fluctuations and with the limits not commuting in general. The notion of a characteristic term structure exponent is introduced, this exponent governs the implied volatility term structure in the various asymptotic regimes.
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the rough regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot of attention both from the statistical and option pric
ing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order $t^{1/2}$ (recent works of Al`{o}s, Le{o}n & Vives and Fukasawa) to the wider moderate deviations regime.
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture parsimoniously key s
tylized facts of the entire implied volatility surface, including extreme skews that were thought to be outside the scope of stochastic volatility. On the mathematical side, Markovianity and, partially, semi-martingality are lost. In this paper we show that Hairers regularity structures, a major extension of rough path theory, which caused a revolution in the field of stochastic partial differential equations, also provides a new and powerful tool to analyze rough volatility models.
In this paper, a pricing formula for volatility swaps is delivered when the underlying asset follows the stochastic volatility model with jumps and stochastic intensity. By using Feynman-Kac theorem, a partial integral differential equation is obtain
ed to derive the joint moment generating function of the previous model. Moreover, discrete and continuous sampled volatility swap pricing formulas are given by employing transform techniques and the relationship between two pricing formulas is discussed. Finally, some numerical simulations are reported to support the results presented in this paper.
الأسئلة المقترحة
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
