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A new approach for option pricing under stochastic volatility

โœ Scribed by Peter Carr; Jian Sun


Publisher
Springer US
Year
2007
Tongue
English
Weight
555 KB
Volume
10
Category
Article
ISSN
1380-6645

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Homotopy analysis method for option pric
โœ Sang-Hyeon Park; Jeong-Hoon Kim ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 219 KB

In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black-Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions