Computation of powered option prices under a general model for underlying asset dynamics

DOI10.1016/J.CAM.2021.113999zbMATH Open1483.91233OpenAlexW4200576627MaRDI QIDQ2074891FDOQ2074891

Authors: Jerim Kim, Bara Kim, Jeongsim Kim, Sungji Lee 

Publication date: 11 February 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113999

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zbMATH Keywords

regime-switching modelHeston's stochastic volatility modelpowered optionsgeometric Lévy modelBlack-Scholes-Vasiček model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (1)

• Title not available (Why is that?)

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