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Analytic calculation of european option pricing in stochastic volatility asset model
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We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.
Abstract
We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.
참고문헌 (8)
- S. Herzel, "Option pricing with stochastic volatility models", Decis. Econ. and Finance, 23, pp.73~99 (2000)
- S.L. Heston, "A closed-form solution for options with stochastic volatility with applications to bond and currency options", Review of Financial Studies, 6, pp.327~343 (1993)
- J. Hull, "The pricing of options on assets with stochastic volatilities", The Journal of Finance, 42(2), pp.281~300 (1987)
- N. Minami, "Asymptotic behavior of elementary solutions of one-dimensional generalized diffusion equations", The Annals of Probability, 13(3), pp.698~715 (1985)
- J. Oh, "Asymptotic behavior of elementary solutions of periodic generalized diffusion equations", The Journal of the Korean Mathematical Society, 25(2), pp.175~198 (1988)
- P. Protter, "Stochastic integration and differential equations, 2nd Printing" (1992), Springer
- E.M. Stein, "Stock price distributions with stochastic volatility: An analytic approach", Review of Financial Studies, 4, pp.727~752 (1991)
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