Pricing vulnerable options under a stochastic volatility model

被引：66

作者：

Yang, Sung-Jin ^{[1
]}

Lee, Min-Ku ^{[2
]}

Kim, Jeong-Hoon ^{[1
]}

机构：

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

[2] Sungkyunkwan Univ, Dept Math, Suwon 440749, Gyeonggi Do, South Korea

来源：

APPLIED MATHEMATICS LETTERS | 2014年 / 34卷

基金：

新加坡国家研究基金会;

关键词：

Vulnerable option; Stochastic volatility; Multiscale; RISK;

D O I：

10.1016/j.aml.2014.03.007

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider the pricing of vulnerable options when the underlying asset follows a stochastic volatility model. We use multiscale asymptotic analysis to derive an analytic approximation formula for the price of the vulnerable options and study the stochastic volatility effect on the option price. A numerical experiment result is presented to demonstrate our findings graphically. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：7 / 12

页数：6

共 16 条

[1] [Anonymous], 2000, PARTIAL DIFFERENTIAL
[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
[3] Derman E., 1994, Risk, V7, P32
[4] Fouque J.-P., 2006, APPL MATH FINANCE, V13, P215, DOI DOI 10.1080/13504860600563127
[5] Fouque J.-P., 1998, EQU DERIV PARTIELLES, P517
[6] Fouque J.-P., 2008, Journal of Computational Finance, V11, P43
[7] Fouque J.P., 2011, MULTISCALE STOCHASTI
[8] MULTINAME AND MULTISCALE DEFAULT MODELING
Fouque, Jean-Pierre
Sircar, Ronnie
Solna, Knut
[J]. MULTISCALE MODELING & SIMULATION, 2009, 7 (04) : 1956 - 1978
[9] A CLOSED-FORM SOLUTION FOR OPTIONS WITH STOCHASTIC VOLATILITY WITH APPLICATIONS TO BOND AND CURRENCY OPTIONS
HESTON, SL
[J]. REVIEW OF FINANCIAL STUDIES, 1993, 6 (02) : 327 - 343
[10] Pricing vulnerable options in incomplete markets
Hung, MW
Liu, YH
[J]. JOURNAL OF FUTURES MARKETS, 2005, 25 (02) : 135 - 170

← 1 2 →