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

DOI10.1017/S1446181121000262zbMath1471.91582MaRDI 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 pricing; Feynman-Kac formula; mean-reverting process

Mathematics Subject Classification ID

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

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Cites Work

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