ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL

DOI10.11568/KJM.2012.20.1.047OpenAlexW4244972032MaRDI QIDQ5863383

Jae-Pill Oh

Publication date: 11 March 2022

Published in: Korean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11568/kjm.2012.20.1.047

zbMATH Keywords

diffusion processEuropean option pricingSDEelementary solution of diffusion equationvolatility asset model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• Asymptotic behavior of elementary solutions of one-dimensional generalized diffusion equations
• Risk minimization in stochastic volatility models: model risk and empirical performance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Option pricing with stochastic volatility models.
• Stochastic differential equations. An introduction with applications.

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