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Epsilon-Martingale Decomposition

Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

Abstract. We address the problems of pricing and hedging derivative securi-

ties in an environment of uncertain and changing market volatility. We show

that when volatility is stochastic but fast mean reverting Black-Scholes pricing

theory can be corrected. The correction accounts for the eect of stochastic

volatility and the associated market price of risk. For European derivatives it

is given by explicit formulas which involve parsimonous parameters directly

calibrated from the implied volatility surface. The method presented here is

based on a martingale decomposition result which enables us to treat non-

Markovian models as well.

1. Stochastic Volatility Models

We consider stochastic volatility models where the asset price (X

t

)

t0

satises the

stochastic dierential equation

dX

t

= X

t

dt +

t

X

t

dW

t

,

and (

t

)

t0

is called the volatility process. It must satisfy some regularity condi-

tions for the model to be well-dened, but it does not have to be an Ito process:

it can be a jump process, a Markov chain, etc. In order for it to be a volatility,

it should be positive. Unlike the implied deterministic volatility models for which

the volatility is a deterministic function (t, X

t

) of time and price, the volatil-

ity process is not perfectly correlated with the Brownian motion (W

t

). Therefore,

volatility is modeled to have an independent random component and since

t

is

not the price of a traded asset, the market is incomplete and there is no longer a

unique equivalent martingale measure. We refer to [6], [5] or [3](Ch.2) for reviews

of stochastic volatility models.

1.1. Mean-Reverting Stochastic Volatility Models

We consider rst volatility processes which are It o processes satisfying stochastic

dierential equations driven by a second Brownian motion. This is a convenient

way to incorporate correlation with stock price changes.

One feature that most volatility models seem to like is mean-reversion. The

term mean-reverting refers to the characteristic (typical) time it takes for a process

2 J.-P. Fouque, G. Papanicolaou and R. Sircar

to get back to the mean-level of its invariant distribution (the long-run distribution

of the process). In other words we assume that

t

is ergodic with additional mixing

properties. From a nancial modeling perspective, mean-reverting refers to a linear

pull-back term in the drift of the volatility process itself, or in the drift of some

(underlying) process of which volatility is a function. Let us denote

t

= f(Y

t

)

where f is some positive function. Then mean-reverting stochastic volatility means

that the stochastic dierential equation for (Y

t

) looks like

dY

t

= (mY

t

)dt +d

Z

t

,

where (

Z

t

)

t0

is a Brownian motion correlated with (W

t

). Here is called the rate

of mean-reversion and m is the long-run mean-level of Y . The drift term pulls Y

towards m and consequently we would expect that

t

is pulled towards the mean

value of f(Y ), with respect to the long-run distribution of Y .

Choosing > 0 constant corresponds to the Ornstein-Uhlenbeck process

which is a Gaussian process with the normal invariant distribution N(m,

2

/2).

This choice, though not necessary, is particularly convenient to explain the concept

of fast mean-reversion and to show through relatively explicit computations how

to exploit this property in pricing and hedging problems. It is still very exible

since the function f is unspecied.

The second Brownian motion (

Z

t

) is correlated with the Brownian motion

(W

t

) driving the asset price equation. We denote by [1, 1] the instantaneous

correlation coecient dened by

dW,

Z

t

= dt.

It is also convenient to write

Z

t

= W

t

+

_

1

2

Z

t

,

where (Z

t

) is a standard Brownian motion independent of (W

t

). It is often found

from nancial data that < 0, and there are economic arguments for a negative

correlation or leverage eect between stock price and volatility shocks. From com-

mon experience and empirical studies, when volatility goes up, asset prices tend

to go down. In general, the correlation may depend on time (t) [1, 1], but we

shall assume it a constant for notational simplicity and because, in most practical

situations, it is taken to be such.

1.2. Pricing with Equivalent Martingale Measures

Because of the additional source of randomness in the volatility process, contingent

claims cannot, in general, be replicated by self-nancing portfolios made of stocks

and riskfree bonds for which we assume a constant interest rate r for simplicity.

There is no uniqueness of no-arbitrage prices. We take the point of view that

the market is choosing one equivalent martingale measure to determine prices of

derivatives. This translates into the introduction of a market price of volatility risk

Stochastic Volatility and Martingale Decomposition 3

t

, an adapted process such that

dIP

()

dIP

= exp

_

1

2

_

T

0

(

2

s

+

2

s

)ds

_

T

0

s

dW

s

_

T

0

s

dZ

s

_

,

denes an equivalent probability IP

()

with

t

= ( r)/f(Y

t

) . By Girsanovs

theorem

W

t

= W

t

+

_

t

0

( r)

f (Y

s

)

ds , Z

t

= Z

t

+

_

t

0

s

ds,

are two independent Brownian motions under IP

()

. We assume that

t

= (Y

t

)

is a function of Y

t

only and our model under the equivalent martingale measure

IP

()

becomes

dX

t

= rX

t

dt +f(Y

t

)X

t

dW

t

,

dY

t

= [(mY

t

) (Y

t

)] dt +d

t

,

where

Z

t

= W

t

+

_

1

2

Z

t

and (y) =

(r)

f(y)

+ (y)

_

1

2

is a combined

market price of risk.

Denoting by IE

()

the expectation with respect to IP

()

, derivatives with

time T payo H are then priced by using the formula

V

t

= IE

()

{e

r(Tt)

H|F

t

},

for all t T, excluding arbitrage opportunities. The ltration (F

t

) is generated by

(W, Z) or (W

, Z

can be obtained as solutions of PDEs through the Feynman-Kac formula, we

will not use this point of view. The martingale approach developed here has the

advantage to generalize naturally to non-Markovian models.

1.3. Fast Mean-Reversion

We consider the regime where the rate of mean-reversion is large while the

variance of the invariant distribution of Y

t

remains of order one (

2

=

2

/2 in

the OU case). In other words the volatility clock is running faster than typical

maturities of order one unit of time (the year for instance). Empirical evidence for

this regime in the S&P500 are given in [3](Ch.4) and in the forthcoming detailed

analysis [4]. It is mathematically convenient to introduce the small parameter

= 1/,

and to rescale accordingly to =

2 /

this notation our model under the pricing equivalent martingale measure becomes

dX

t

= rX

t

dt +f(Y

t

)X

t

dW

t

,

dY

t

=

_

1

(mY

t

)

(Y

t

)

_

dt +

t

,

where we write (X

, Y

4 J.-P. Fouque, G. Papanicolaou and R. Sircar

2. Asymptotic Pricing

We consider a European derivative given by its nonnegative payo function h(x)

and its maturity time T. We assume that h is a smooth function in order to avoid

technicalities in explaining the principle of our asymptotic method rst introduced

in [3](Ch.10). The nonsmooth case is more technical and not presented here. The

price P

P

(t) = IE

()

{e

r(Tt)

h(X

T

)|F

t

} ,

where the conditional expectation is with respect to the ltration (F

t

) of the two

Brownian motions. Instead of characterizing this price as a function of the current

values (x, y) of (X

t

, Y

t

) satisfying a two-dimensional PDE, we characterize P

(t)

by the fact that the process M

dened by

M

t

= e

rt

P

(t) = IE

()

{e

rT

h(X

T

)|F

t

} ,

is a martingale with a terminal value given by

M

T

= e

rT

h(X

T

) .

Our goal is to show that P

Q

(t, X

t

) where Q

2.1. The Epsilon-Martingale Decomposition Argument

For a function Q

consider the process N

dened by

N

t

= e

rt

Q

(t, X

t

) .

Requiring that the function Q

satises Q

have

M

T

= N

T

.

The method consists in nding Q

can be decomposed as

N

t

=

M

t

+R

t

,

where

M

is a martingale and R

t

is of order . Observe that in this decomposition

the terms of order

are absorbed in the martingale part.

Supposing that this has been established, by taking a conditional expectation

with respect to F

t

on both sides of the equality

N

T

=

M

T

+R

T

,

and using the martingale property of

M

, one obtains

IE

{N

T

|F

t

} =

M

t

+IE

{R

T

|F

t

} .

Stochastic Volatility and Martingale Decomposition 5

From the terminal condition M

T

= N

T

and the martingale property of M

we

deduce that the left hand side is also equal to M

t

. From the decomposition of N

t

we have

M

t

= N

t

R

t

and therefore

M

t

= N

t

+IE

{R

T

|F

t

} R

t

.

Multiplying by e

rt

and using the denitions of M

t

and N

t

one deduces

P

(t) = Q

(t, X

t

) +O() ,

which is the desired approximation result. Indeed it remains to determine Q

.

2.2. Decomposition Result

Assuming a priori sucient smoothness of the function Q

we write

dN

t

= d

_

e

rt

Q

(t, X

t

)

_

= e

rt

_

t

+

1

2

f(Y

t

)

2

(X

t

)

2

2

x

2

+rX

x

r

_

Q

(t, X

t

)dt

+ e

rt

_

Q

x

(t, X

t

)

_

f(Y

t

)X

t

dW

t

.

The method consists in cancelling the bounded variation terms as much as possible.

The rst obvious step in that direction is to replace the volatility f(Y

t

) by a

constant volatility and to consider Q

Black-Scholes pricing function. A natural choice of a constant volatility is given

by averaging f

2

with respect to the invariant distribution of Y

. Denoting this

averaging by

we dene

2

= f

2

.

In our example, Y

distribution admits the density

J

exp

_

(y m)

2

2

2

(y)

_

,

where

is an antiderivative of the market price of risk and J

is the appropriate

normalizing constant. Introducing the usual Black-Scholes operator

L

BS

() =

t

+

1

2

2

x

2

2

x

2

+r

_

x

x

_

,

we have

dN

t

= e

rt

_

L

BS

(

) +

1

2

_

f(Y

t

)

2

2

_

(X

t

)

2

2

x

2

_

Q

(t, X

t

)dt

+ e

rt

_

Q

x

(t, X

t

)

_

f(Y

t

)X

t

dW

t

.

6 J.-P. Fouque, G. Papanicolaou and R. Sircar

Setting Q

= P

0

+

Q

1

where P

0

is the the solution of the Black-Scholes equation

L

BS

(

)P

0

= 0 with the terminal condition P

0

(T, x) = h(x), we deduce

dN

t

= e

rt

_

L

BS

(

1

(t, X

t

) +

1

2

_

f(Y

t

)

2

2

_

(X

t

)

2

2

Q

x

2

(t, X

t

)

_

dt

+ e

rt

_

Q

x

(t, X

t

)

_

f(Y

t

)X

t

dW

t

.

The second term will be small of order O(

1

will be chosen to combine with it into a term of order O() and a martingale

term. For clarity we do that rst by using the Markov property of Y

.

2.2.1. Markovian Case. We denote by

1

L

0

(resp.

1

L

0

) the innitesimal

generator of the unperturbed (resp. perturbed) Markov process Y

. In the partic-

ular case of an OU process one has:

L

0

= (my)

y

+

2

2

y

2

,

L

0

= L

0

2 (y)

y

= (my

2 (y))

y

+

2

2

y

2

.

We then consider a solution

L

(y) = f(y)

2

2

,

which we assume to be well dened (up to an additive constant) and to have a

bounded derivative as in the OU case with a bounded function f.

We then deduce from Itos formula that

_

f(Y

t

)

2

2

_

dt =

_

d(

(Y

t

))

(Y

t

)d

t

_

,

leading to

dN

t

= e

rt

_

L

BS

(

1

(t, X

t

)dt +

1

2

(X

t

)

2

2

Q

x

2

(t, X

t

)d(

(Y

t

))

_

+ e

rt

_

Q

x

(t, X

t

)

_

f(Y

t

)X

t

dW

2

e

rt

_

(X

t

)

2

2

Q

x

2

(t, X

t

)

_

(Y

t

)d

t

.

The second term is computed by using the integration by parts formula:

(X

t

)

2

2

Q

x

2

d (

(Y

t

)) = d

_

(X

t

)

2

2

Q

x

2

(Y

t

)

_

(Y

t

)d

_

(X

t

)

2

2

Q

x

2

_

d

_

(X

)

2

2

Q

x

2

,

(Y

)

_

t

,

Stochastic Volatility and Martingale Decomposition 7

where the covariation term is given by

d

_

(X

)

2

2

Q

x

2

,

(Y

)

_

t

=

(Y

t

)

x

_

x

2

2

Q

x

2

_

(t, X

t

)f(Y

t

)X

t

dt .

Collecting the martingale terms and the bounded variation terms of order O(),

we get

N

t

= N

0

+ Martingale

+

_

t

0

e

rs

_

L

BS

(

1

(s, X

s

)

(Y

s

)f(Y

s

)X

x

_

x

2

2

P

0

x

2

_

(t, X

s

)

_

ds

+ O() .

We choose now

Q

1

such that the quantity to be integrated in time is centered with

respect to the invariant distribution of Y

show that this integral can be replaced by the sum of a martingale and a term of

order O(). The centering involves the third derivative of the Black-Scholes price

P

0

. Introducing the small constant

V

3

=

2

f

,

and dening the source function

H

(t, x) = V

3

x

x

_

x

2

2

P

0

x

2

_

= V

3

_

2x

2

2

P

0

x

2

+x

3

3

P

0

x

3

_

,

we choose

Q

1

(t, x) to be the solution of the Black-Scholes equation

L

BS

(

1

= H

,

with the zero terminal condition

Q

1

(T, x) = 0. The desired decomposition follows

N

t

=

M

t

+R

t

,

where

is a martingale and R

= P

0

+

1

do

not depend on y and satises Q

Q

1

is of order O(

)

and P

(t) = Q

case = 0, the correction

Q

1

is simply zero and the approximated price is the

Black-Scholes price P

0

with the modied volatility

.

2.2.2. Non-Markovian Case. We briey indicate how to obtain the decom-

position of N

that Y

tial rate of mixing denoted by . We again set = 1/ and we assume that the

variance of the invariant distribution of the unperturbed process Y denoted by

2

is independent of . We also suppose that Y has a diusion part driven by a

8 J.-P. Fouque, G. Papanicolaou and R. Sircar

Brownian motion correlated to W through the constant as in the Markovian

case.

The decomposition result is then obtained as in the Markovian case except

that we cannot dene the corrector

an innitesimal generator. Instead

(Y

t

) is replaced by the random quantity

(t)

dened by the conditional shift

(t) =

1

IE

_

_

T

t

_

f(Y

s

)

2

2

_

ds|F

t

_

.

It is very similar to the way the solutions of the Poisson equations are constructed

in the Markovian case since the simple change of variable u = s/ shows that it is

comparable to

(y) =

_

+

0

IE

__

f(Y

t

)

2

2

_

|Y

0

= y

_

dt ,

used in the Markovian case. The method of conditional shift (or pseudo-generator)

is treated in [7] for instance. The rest of the proof is very similar to the Markovian

case once we observe that

M

t

=

(t)

1

_

t

0

_

f(Y

s

)

2

2

_

ds ,

is a martingale. Dening

(t) by

2

d W

, M

t

=

(t)dt ,

so that it plays the role of

(Y

t

) in the Markovian case, the small constant

V

3

is given by the averaging

V

3

= f

.

The source function H

Q

1

(t, x) are then dened exactly

as in the Markovian case and the same conlusion follows:

Q

1

is of order O(

)

and P

(t) = P

0

(t, x) +

Q

1

(t, x) +O().

3. Practical Form of the Approximated Price

The computation of the approximated price P

0

+

Q

1

requires the two parameters

and V

3

in order to compute rst the Black-Scholes price P

0

and then deduce

the correction

Q

1

. In fact it is easily shown, [3](Ch.5), that

1

= (T t)H

= (T t)V

3

x

x

_

x

2

2

P

0

x

2

_

.

The mean square volatility

2

we do not observe stock returns under the risk neutral probability IP

()

but

rather under the subjective probability IP which does not involve the market price

Stochastic Volatility and Martingale Decomposition 9

of volatility risk . For practical purpose we need to rewrite our approximation

formula with a dierent set of parameters.

3.1. Perturbed Invariant Distribution

Denoting by the average with respect to the invariant distribution of the un-

perturbed Y process, we have the following expansion of the invariant distribution

of the perturbed Y

process

( )

_

+O() ,

where

is an antiderivative of the combined market price of risk . Dening

2

= f

2

, it follows that

L

BS

(

) = L

BS

( ) +

1

2

_

f

2

f

2

_

x

2

2

x

2

= L

BS

( )

(f

2

f

2

)x

2

2

x

2

+O() .

Introducing P

0

(t, x), the Black-Scholes solution with constant voaltility , one can

easily write

P

1

= (T t)

_

V

2

x

2

2

P

0

x

2

+V

3

x

3

3

P

0

x

3

_

,

for two parameters V

2

and V

3

, small of order O(

imation P

(t) = P

0

(t, x) +

P

1

(t, x) + O() holds. This is the form which arises

naturally when performing the asymptotics on the pricing PDE in the Markovian

case as described rst in [1] and detailed in [3](Ch.5).

3.2. Calibration

Without going into details we see that, in order to use this formula, we need the

three parameters ( , V

2

, V

3

). The rst one is easily estimated on historical returns

data. The two others, the V s, can be obtained by using observed call option prices

or equivalently by tting the term structure of implied volatility. Explicit formulas

are given in [2] and, in [3](Ch.6) with a stability analysis.

4. Hedging

To stay within a reasonable length we simply recall that, in presence of stochastic

volatility, a perfect self-nancing hedge of a derivative, with stocks and bonds

only, is not possible in general. When volatility is fast mean-reverting as described

in this paper, it is possible to correct a pure Black-Scholes hedge ratio in order

to reduce the bias introduced in the cost of the hedging strategy. This hedging

correction gives a mean self-nancing strategy up to order O(). It is obtained by

the method described in Section 2.2 but performed under the objective probability

IP. We refer to [3](Ch.7) for details and formulas.

10 J.-P. Fouque, G. Papanicolaou and R. Sircar

References

[1] J.P. Fouque, G. Papanicolaou and R. Sircar, Asymptotics of a Two-Scale Stochastic

Volatility Model, Equations aux derivees partielles et applications, Articles dedies `a

Jacques-Louis Lions, Gauthier-Villars, Paris (1998) 517526.

[2] J.P. Fouque, G. Papanicolaou and R. Sircar, Mean-Reverting Stochastic Volatility,

International Journal of Theoretical and Applied Finance, 3(1) (2000), 101142.

[3] J.P. Fouque, G. Papanicolaou and R. Sircar, Derivatives in Financial Markets with

Stochastic Volatility, Cambridge University Press, 2000.

[4] J.P. Fouque, G. Papanicolaou, R. Sircar and K. Solna, Mean Reversion of S&P 500

Volatility, preprint (2000).

[5] R. Frey, Derivative Asset Analysis in Models with Level-Dependent and Stochastic

Volatility, CWI Quarterly, 10(1) (1996), 134.

[6] E. Ghysels, A. Harvey and E. Renault, Stochastic Volatility, Statistical Methods in

Finance. Handbook of Statistics, 14(Ch.5) (1996) 119191.

[7] A. Kushner, Approximation and Weak Convergence Methods for random Processes,

MIT Press, 1984.

Jean-Pierre Fouque,

Department of Mathematics,

North Carolina State University,

Raleigh NC 27695-8205, USA

Partially supported by NSF/DMS-0071744

E-mail address: fouque@math.ncsu.edu

George Papanicolaou,

Department of Mathematics,

Stanford University,

Stanford CA 94305, USA

E-mail address: papanico@math.stanford.edu

Ronnie Sircar,

Department of Operations Research & Financial Engineering,

Princeton University, E-Quad

Princeton NJ 08544, USA

Partially supported by NSF/DMS-0090067

E-mail address: sircar@princeton.edu

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