PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY

DOI10.1017/S1446181119000142zbMath1443.91330OpenAlexW4244353390MaRDI QIDQ5112593

Adán Díaz-Hernández, Siti Nur Iqmal Ibrahim, Nick Constantinou, John G. O'Hara

Publication date: 2 June 2020

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181119000142

zbMATH Keywords

finite difference methodfast Fourier transformMonte Carlo simulationHeston modelextendable options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Numerical methods for discrete and fast Fourier transforms (65T50)

Uses Software

• Matlab
• Python

Cites Work

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• HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS

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