Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method
Joint Authors
Zhu, Wenli
Huang, Jiexiang
Ruan, Xinfeng
Li, Shuang
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-07
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset is governed by a jump diffusion equation with stochastic volatility.
We obtain the Radon-Nikodym derivative for the minimal martingale measure and a partial integro-differential equation (PIDE) of European option.
The finite difference method is employed to compute the European option valuation of PIDE.
American Psychological Association (APA)
Ruan, Xinfeng& Zhu, Wenli& Li, Shuang& Huang, Jiexiang. 2013. Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1008588
Modern Language Association (MLA)
Ruan, Xinfeng…[et al.]. Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method. Mathematical Problems in Engineering No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-1008588
American Medical Association (AMA)
Ruan, Xinfeng& Zhu, Wenli& Li, Shuang& Huang, Jiexiang. Option Pricing under Risk-Minimization Criterion in an Incomplete Market with the Finite Difference Method. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1008588
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1008588
