Pricing perpetual American options under multiscale stochastic elasticity of variance

被引：11

作者：

Yoon, Ji-Hun ^{[1
]}

机构：

[1] Seoul Natl Univ, Dept Math, Seoul 120749, South Korea

来源：

CHAOS SOLITONS & FRACTALS | 2015年 / 70卷

关键词：

VOLATILITY;

D O I：

10.1016/j.chaos.2014.10.012

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper studies pricing the perpetual American options under a constant elasticity of variance type of underlying asset price model where the constant elasticity is replaced by a fast mean-reverting Ornstein-Ulenbeck process and a slowly varying diffusion process. By using a multiscale asymptotic analysis, we find the impact of the stochastic elasticity of variance on the option prices and the optimal exercise prices with respect to model parameters. Our results enhance the existing option price structures in view of flexibility and applicability through the market prices of elasticity risk. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：14 / 26

页数：13

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