以激情定价：局部占据波动率（LOV）模型
Pricing with Passion: The Local Occupied Volatility (LOV) Model
AI总结：
LOV模型在Dupire局部波动率与完全路径依赖动态之间平衡，自动校准欧洲普通期权，同时灵活捕捉波动率特征或拟合其他工具。
摘要：
我们引入了局部占据波动率（LOV）模型，该模型位于Dupire的局部波动率和完全路径依赖动态之间。通过设计，LOV模型确保自动校准到欧洲普通期权，同时提供灵活捕捉波动率特征或拟合其他工具的可能。这通过调节职业敏感性函数来实现，该函数量化路径依赖冲击对波动率的影响。我们通过非分红股票期权链的联合美式-欧式校准来验证该模型。
英文摘要：
We introduce the Local Occupied Volatility (LOV) model that sits between Dupire's local volatility and fully path-dependent dynamics. By design, the LOV model ensures automatic calibration to European vanilla options, while offering the flexibility to capture stylized facts of volatility or fit additional instruments. This is achieved by tuning the occupation sensitivity function that quantifies the effect of path-dependent shocks on volatility. We validate the model through the joint American-European calibration of options chain on non-dividend paying stocks.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
