Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility

DOI10.1155/2013/682524zbMATH Open1273.91447OpenAlexW2084923075WikidataQ58916607 ScholiaQ58916607MaRDI QIDQ370128FDOQ370128

Authors: Hoi Ying Wong, Mei Choi Chiu 

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/682524

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• Homotopy analysis method for option pricing under stochastic volatility
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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Iterative Solution of Nonlinear Equations in Several Variables
• Mathematical models of financial derivatives
• Homotopy analysis method for option pricing under stochastic volatility
• An exact and explicit solution for the valuation of American put options
• An analytic pricing formula for lookback options under stochastic volatility
• A closed-form solution to American options under general diffusion processes
• Turbo warrants under stochastic volatility

Cited In (5)

• Turbo warrants under hybrid stochastic and local volatility
• Homotopy analysis method for option pricing under stochastic volatility
• Turbo warrants under stochastic volatility
• Optimal investment for insurers with the extended CIR interest rate model
• Pricing turbo warrants under stochastic elasticity of variance

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