Efficient option pricing in crisis based on dynamic elasticity of variance model

DOI10.1155/2016/7496539zbMath1418.91510OpenAlexW2303821101WikidataQ59123641 ScholiaQ59123641MaRDI QIDQ2314728

Peimin Chen, Kaili Xiang, Congyin Fan

Publication date: 30 July 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/7496539

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Optimal investment strategies for general utilities under dynamic elasticity of variance models ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model

Cites Work

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• A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
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• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• Pricing American options using a nonparametric entropy approach
• Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying¹

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