金融备选方案的高分辨率路径积分开发
High-resolution path-integral development of financial options
摘要：
Black-Scholes期权定价理论多年来一直被认为是对实际市场行为的重要但非常近似的零阶描述。我们推广了这些系统的扩散的函数形式，并考虑了包括随机波动率的多因素模型。每日欧洲美元期货价格和隐含波动率适合使用全局优化方法，自适应模拟退火（ASA），以确定扩散的函数行为的指数，从而在欧洲美元合约的移动时间窗口中生成紧拟合。这些短期拟合的分布，然后开发成长期分布使用一个强大的非蒙特卡洛路径积分算法，PATHINT，以产生价格和衍生工具常用的期权交易者。
英文摘要：
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices and implied volatilities are fit to determine exponents of functional behavior of diffusions using methods of global optimization, Adaptive Simulated Annealing (ASA), to generate tight fits across moving time windows of Eurodollar contracts. These short-time fitted distributions are then developed into long-time distributions using a robust non-Monte Carlo path-integral algorithm, PATHINT, to generate prices and derivatives commonly used by option traders.
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