Homotopy analysis method for option pricing under stochastic volatility

DOI10.1016/J.AML.2011.04.034zbMath1216.91034OpenAlexW1986830136MaRDI QIDQ550482

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 11 July 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.04.034

zbMATH Keywords

stochastic volatilityoption pricinghomotopy analysis method

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

The method based on series solution for identifying an unknown source coefficient on the temperature field in the quasiperiodic media ⋮ Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters ⋮ Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility ⋮ Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact ⋮ A semi-analytic pricing formula for lookback options under a general stochastic volatility model ⋮ Solving the backward heat conduction problem by homotopy analysis method ⋮ An explicit analytic formula for pricing barrier options with regime switching ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Asymptotic option pricing under the CEV diffusion
• An explicit series approximation to the optimal exercise boundary of American put options
• Numerically solving nonlinear problems by the homotopy analysis method
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An exact and explicit solution for the valuation of American put options
• Stochastic differential equations. An introduction with applications.

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