Development of computational algorithms for evaluating option prices associated with square-root volatility processes

DOI10.1007/s11009-008-9096-0zbMath1189.91212OpenAlexW2065703734MaRDI QIDQ1041306

Hui Jin, Hideyuki Takada, Ushio Sumita

Publication date: 2 December 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://tsukuba.repo.nii.ac.jp/record/18336/files/MCAP_11-4.pdf

zbMATH Keywords

stochastic volatilityMeixner polynomialsbirth-death processbarrier optionuniformization procedure

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
• Markov chain models - rarity and exponentiality
• Stochastic processes and orthogonal polynomials
• THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART I:THEORY
• An Intertemporal General Equilibrium Model of Asset Prices
• THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART II: ALGORITHM
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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