Pricing collar options with stochastic volatility

DOI10.1155/2017/9673630zbMath1372.91112OpenAlexW2613584873WikidataQ59143350 ScholiaQ59143350MaRDI QIDQ2403864

Pengshi Li, Jianhui Yang

Publication date: 12 September 2017

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/9673630

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Alternative models for stock price dynamics.
• Pricing vulnerable options under a stochastic volatility model
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Turbo warrants under stochastic volatility
• Singular Perturbations in Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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