An asymptotic valuation for the option under a general stochastic volatility

被引：1

作者：

Kim, YJ ^{[1
]}

机构：

[1] Hosei Univ, Fac Business Adm, Chiyoda Ku, Tokyo 1028160, Japan

来源：

JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN | 2002年 / 45卷 / 04期

关键词：

D O I：

10.15807/jorsj.45.404

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This article examines the valuation problem for the European option under a general stochastic volatility in a certain approximate sense by adopting the small disturbance asymptotic theory developed by Kunitomo and Takahashi [25, 26]. The option value can be decomposed into the Black and Scholes value under deterministic volatility and adjustment terms driven by the randomness of the volatility, which also extends some portions of Kunitomo and Kim [24].

引用

页码：404 / 425

页数：22

共 50 条

[21] European option pricing with transaction costs and stochastic volatility: an asymptotic analysis
Caflisch, R. E.
Gambino, G.
Sammartino, M.
Sgarra, C.
IMA JOURNAL OF APPLIED MATHEMATICS, 2015, 80 (04) : 981 - 1008
[22] European option pricing with transaction costs and stochastic volatility: An asymptotic analysis
Caflisch, R.E.
Gambino, G.
Sammartino, M.
Sgarra, C.
IMA Journal of Applied Mathematics (Institute of Mathematics and Its Applications), 2014, 80 (04): : 981 - 1008
[23] On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility
Chen, Wenting
Zhu, Song-Ping
JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (05)
[24] American option valuation under stochastic interest rates
Chung S.-L.
Review of Derivatives Research, 2000, 3 (3) : 283 - 307
[25] The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
Kang, Boda
Meyer, Gunter H.
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2012, 64 (06) : 2034 - 2048
[26] Option pricing under hybrid stochastic and local volatility
Choi, Sun-Yong
Fouque, Jean-Pierre
Kim, Jeong-Hoon
QUANTITATIVE FINANCE, 2013, 13 (08) : 1157 - 1165
[27] A new approach for option pricing under stochastic volatility
Carr P.
Sun J.
Review of Derivatives Research, 2007, 10 (2) : 87 - 150
[28] Option pricing under stochastic volatility on a quantum computer
Wang, Guoming
Kan, Angus
QUANTUM, 2024, 8
[29] OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
Han, Y.
Li, Z.
Liu, C.
ANZIAM JOURNAL, 2021, 63 (02): : 123 - 142
[30] Bounds on European option prices under stochastic volatility
Frey, R
Sin, CA
MATHEMATICAL FINANCE, 1999, 9 (02) : 97 - 116

← 1 2 3 4 5 →