ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL
DOI10.11568/KJM.2012.20.1.047OpenAlexW4244972032MaRDI QIDQ5863383FDOQ5863383
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
diffusion processEuropean option pricingSDEelementary solution of diffusion equationvolatility asset model
Applications of statistics to economics (62P20) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- 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
- Risk minimization in stochastic volatility models: model risk and empirical performance
- Stochastic differential equations. An introduction with applications.
- Title not available (Why is that?)
- Asymptotic behavior of elementary solutions of one-dimensional generalized diffusion equations
- Option pricing with stochastic volatility models.
Cited In (5)
- Title not available (Why is that?)
- 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
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