Option prices from operational-time reaction-boundary lattices
来自操作时间反应边界格点的期权定价
专题命中 扩散模型 :diffusion(abstract)
AI总结 提出操作时间马尔可夫格点模型,推导期权定价方程,将局部波动率与风险中性买卖反应边界方差关联,分离操作核、日历时间投影和定价测度选择,阐明未跨度时钟、跳跃或更新风险导致的不完全市场定价。
Comments 25 pages, 2 figures, and 1 table. Appendices added to tighten the mathematical claims; operational-time and calendar-time price notation clarified; stochastic-clock valuation claims more precisely delimited