ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL

DOI10.11568/KJM.2012.20.1.047MaRDI QIDQ5863383zbMATH OpenOpenAlexFDO

Authors 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) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• scientific article; zbMATH DE number 4125891 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Asymptotic behavior of elementary solutions of one-dimensional generalized diffusion equations
• Option pricing with stochastic volatility models.
• Risk minimization in stochastic volatility models: model risk and empirical performance
• Stochastic differential equations. An introduction with applications.
• Stock price distributions with stochastic volatility: an analytic approach

Cited in

(5)

• scientific article; zbMATH DE number 5132722 (Why is no real title available?)
• Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

This page was built for publication: ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5863383)