Homotopy analysis method for option pricing under stochastic volatility

DOI10.1016/J.AML.2011.04.034MaRDI QIDQ550482zbMATH OpenOpenAlexFDO

Authors 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

option pricingstochastic volatilityhomotopy analysis method

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 3371258 (Why is no real title available?)
• 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
• An explicit series approximation to the optimal exercise boundary of American put options
• Asymptotic option pricing under the CEV diffusion
• Numerically solving nonlinear problems by the homotopy analysis method
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities

Cited in

(12)

• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• Homotopy analysis method for portfolio optimization problem under the 3/2 model
• An explicit analytic formula for pricing barrier options with regime switching
• The method based on series solution for identifying an unknown source coefficient on the temperature field in the quasiperiodic media
• Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility
• A stochastic control approach to bid-ask price modelling
• The homotopy perturbation method for the Black–Scholes equation
• Solving the backward heat conduction problem by homotopy analysis method
• A homotopy analysis method for the option pricing PDE in post-crash markets
• Application of homotopy analysis method to option pricing under Lévy processes
• Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
• Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact

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