Sökning: WFRF:(Rancic Milica 1977 ) >
Numerical Methods o...
Numerical Methods on European Options Second Order Asymptotic Expansions for Multiscale Stochastic Volatility
-
- Canhanga, Betuel, 1980- (författare)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
-
- Ni, Ying, 1976- (författare)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
-
- Rancic, Milica, 1977- (författare)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
-
visa fler...
-
- Malyarenko, Anatoliy, 1957- (författare)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
-
- Silvestrov, Sergei, 1970- (författare)
- Mälardalens högskola,Utbildningsvetenskap och Matematik,MAM
-
visa färre...
-
(creator_code:org_t)
- Author(s), 2017
- 2017
- Engelska.
-
Ingår i: INCPAA 2016 Proceedings. - : Author(s). - 9780735414648 ; , s. 020035-1-020035-10
- Relaterad länk:
-
http://aip.scitation...
-
visa fler...
-
https://urn.kb.se/re...
-
https://doi.org/10.1...
-
visa färre...
Abstract
Ämnesord
Stäng
- After Black-Scholes proposed a model for pricing European Option in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption in the Black-Scholes model was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced non-constant volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multi-factor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented an approximate formula for pricing American option.The huge calculation involved in the Chiarella and Ziveyi approach motivated us to investigate another approach to compute European option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present chapter we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- stochastic volatilities
- European option
- asymptotic expansion
- Mathematics/Applied Mathematics
- matematik/tillämpad matematik
Publikations- och innehållstyp
- ref (ämneskategori)
- kon (ämneskategori)
Hitta via bibliotek
Till lärosätets databas