Analytical approximation method of option pricing under geometric mean-reverting process

DOI10.1080/00207160902818783zbMATH Open1163.91413OpenAlexW2105541253MaRDI QIDQ3636742FDOQ3636742

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160902818783

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zbMATH Keywords

option pricingTaylor series expansionanalytical approximationEdgeworth series expansiongeometric mean-reverting process

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Cites Work

• Title not available (Why is that?)
• Investment under alternative return assumptions
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• The Valuation of Path Dependent Contracts on the Average
• Analytical valuation of American-style Asian options

Cited In (2)

• On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
• Optimal geometric mean returns of stocks and their options

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