英文标题：
《Closed-form approximations in derivatives pricing: The Kristensen-Mele
  approach》
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作者：
Michael Kurz
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最新提交年份：
2018
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英文摘要：
  Kristensen and Mele (2011) developed a new approach to obtain closed-form approximations to continuous-time derivatives pricing models. The approach uses a power series expansion of the pricing bias between an intractable model and some known auxiliary model. Since the resulting approximation formula has closed-form it is straightforward to obtain approximations of greeks. In this thesis I will introduce Kristensen and Mele\'s methods and apply it to a variety of stochastic volatility models of European style options as well as a model for commodity futures. The focus of this thesis is the effect of different model choices and different model parameter values on the numerical stability of Kristensen and Mele\'s approximation.
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中文摘要：
Kristensen和Mele（2011）开发了一种新方法，以获得连续时间衍生品定价模型的闭合形式近似值。该方法使用难处理模型和一些已知辅助模型之间定价偏差的幂级数展开。由于得到的近似公式具有闭合形式，因此很容易获得希腊人的近似值。在这篇论文中，我将介绍Kristensen和Mele的方法，并将其应用于各种欧式期权的随机波动率模型以及商品期货模型。本文的重点是不同的模型选择和模型参数值对Kristensen和Mele近似的数值稳定性的影响。
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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
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