Pricing European options with stochastic volatility under the minimal entropy martingale measure

DOI10.1017/S0956792515000510zbMath1408.91214OpenAlexW2346309947MaRDI QIDQ4594578

Xin-Jiang He, Song-Ping Zhu

Publication date: 24 November 2017

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

Full work available at URL: https://doi.org/10.1017/s0956792515000510

zbMATH Keywords

convergenceseries expansionexpected utility maximizationminimal entropy martingale measure

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

OPTION PRICING USING STOCHASTIC VOLATILITY MODEL UNDER FOURIER TRANSFORM OF NONLINEAR DIFFERENTIAL EQUATION ⋮ A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL ⋮ A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ A closed-form pricing formula for European options under the Heston model with stochastic interest rate

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