AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER

DOI10.1017/S1446181121000262zbMath1471.91582OpenAlexW4246844209MaRDI QIDQ5158753

P. Nonsoong, Sanae Rujivan, Khamron Mekchay

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000262

zbMATH Keywords

option pricingFeynman-Kac formulamean-reverting process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Closed-form formula for conditional moments of generalized nonlinear drift CEV process

Cites Work

• The Pricing of Options and Corporate Liabilities
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility
• Option pricing with mean reversion and stochastic volatility
• An integral representation and computation for the solution of American options
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives
• Analytically pricing variance swaps in commodity derivative markets under stochastic convenience yields
• A closed-form formula for pricing variance swaps on commodities
• A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL
• Pricing Interest-Rate-Derivative Securities
• Interest rate models -- theory and practice
• Stochastic differential equations. An introduction with applications.
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item