Homotopy analysis method for option pricing under stochastic volatility

DOI10.1016/J.AML.2011.04.034zbMATH Open1216.91034OpenAlexW1986830136MaRDI QIDQ550482FDOQ550482

Sang-Hyeon Park, Jeong-Hoon Kim

Publication date: 11 July 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.04.034

zbMATH Keywords

option pricingstochastic volatilityhomotopy analysis method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• Title not available (Why is that?)
• An explicit series approximation to the optimal exercise boundary of American put options
• An exact and explicit solution for the valuation of American put options
• Numerically solving nonlinear problems by the homotopy analysis method
• Asymptotic option pricing under the CEV diffusion

Cited In (9)

• A semi-analytic pricing formula for lookback options under a general stochastic volatility model
• A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
• The homotopy perturbation method for the Black–Scholes equation
• Solving the backward heat conduction problem by homotopy analysis method
• Algebraic resolution of equations of the Black-Scholes type with arbitrary time-dependent parameters
• The method based on series solution for identifying an unknown source coefficient on the temperature field in the quasiperiodic media
• An explicit analytic formula for pricing barrier options with regime switching
• Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
• Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility

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