Homotopy analysis method for option pricing under stochastic volatility

DOI10.1016/j.aml.2011.04.034zbMath1216.91034OpenAlexW1986830136MaRDI QIDQ550482

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

stochastic volatilityoption pricinghomotopy analysis method

Mathematics Subject Classification ID

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

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Cites Work

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• Asymptotic option pricing under the CEV diffusion
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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An exact and explicit solution for the valuation of American put options
• Stochastic differential equations. An introduction with applications.