On the pricing formula for the perpetual American volatility option under the mean-reverting processes

DOI10.11650/TJM/200803zbMath1471.91577OpenAlexW3081211059MaRDI QIDQ2233615

Tse-Yu Lin, Yen-Lung Tsai, Hsuan-Ku Liu

Publication date: 11 October 2021

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/tjm/200803

zbMATH Keywords

free boundary problemneural network approachAmerican volatility options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• Python
• Adam

Cites Work

• Multilayer feedforward networks are universal approximators
• Two singular diffusion problems
• The Valuation of Volatility Options
• STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS
• A Theory of the Term Structure of Interest Rates
• On American VIX options under the generalized 3/2 and 1/2 models
• A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
• Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model

This page was built for publication: On the pricing formula for the perpetual American volatility option under the mean-reverting processes