This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lévy process, a method suitable for solving the complex valuation prob
✦ LIBER ✦
Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes
✍ Scribed by Sakuma, Takayuki; Yamada, Yuji
- Book ID
- 121561562
- Publisher
- Springer
- Year
- 2013
- Tongue
- English
- Weight
- 250 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1573-6946
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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