On Black–Scholes option pricing model with stochastic volatility: an information theoretic approach

DOI10.1080/07362994.2020.1797508zbMath1470.91269OpenAlexW3044384959MaRDI QIDQ4986427

Luckshay Batra, H. C. Taneja

Publication date: 27 April 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2020.1797508

zbMATH Keywords

stochastic volatilityBlack-Scholes equationhomotopy perturbation methodoption pricing theoryLiouville-Caputo fractional derivativeKullback measure of relative information

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Approximate-analytical solution to the information measure's based quanto option pricing model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Handbook of computational finance.
• Some notes on using the homotopy perturbation method for solving time-dependent differential equations
• Homotopy perturbation method for bifurcation of nonlinear problems
• Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility
• Homotopy perturbation technique
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Numerical methods applied to option pricing models with transaction costs and stochastic volatility
• Option pricing when underlying stock returns are discontinuous
• On Information and Sufficiency

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