英文标题：
《Local Variance Gamma and Explicit Calibration to Option Prices》
---
作者：
Peter Carr and Sergey Nadtochiy
---
最新提交年份：
2014
---
英文摘要：
  In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we provide an algorithm for calibrating a pure jump Markov martingale model to match the market prices of European options of multiple strikes and maturities. This algorithm only requires solutions of several one-dimensional root-search problems, as well as application of elementary functions. We show how to construct a time-homogeneous process which meets a single smile, and a piecewise time-homogeneous process which can meet multiple smiles.
---
中文摘要：
在一些期权市场（如商品），期权上市时每个标的只有一个到期日。在其他情况下（如股票、货币），期权以多个到期日列出。在本文中，我们提供了一个校准纯跳跃马尔可夫鞅模型的算法，以匹配多重行使和到期的欧式期权的市场价格。该算法只需要求解几个一维的根搜索问题，并应用初等函数。我们展示了如何构造一个满足单个微笑的时间齐次过程，以及一个满足多个微笑的分段时间齐次过程。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics        数学
二级分类：Analysis of PDEs        偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE\'s, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->