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

Mathematics Subject Classification ID

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

Recommendations

• Homotopy analysis method for option pricing under stochastic volatility
• The homotopy perturbation method for the Black–Scholes equation
• Turbo warrants under hybrid stochastic and local volatility
• Turbo warrants under stochastic volatility
• Pricing turbo warrants under stochastic elasticity of variance

Cites Work

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

This page was built for publication: Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q370128)