Computation of powered option prices under a general model for underlying asset dynamics

DOI10.1016/J.CAM.2021.113999zbMath1483.91233OpenAlexW4200576627MaRDI QIDQ2074891

Sungji Lee, Jeongsim Kim, Jerim Kim, Bara Kim

Publication date: 11 February 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113999

zbMATH Keywords

regime-switching modelHeston's stochastic volatility modelBlack-Scholes-Vasiček modelgeometric Lévy modelpowered options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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