Pricing Collar Options with Stochastic Volatility
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-05-14
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper studies collar options in a stochastic volatility economy.
The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
The method of asymptotic analysis is employed to solve the PDE in the stochastic volatility model.
An analytical approximation formula for the price of the collar option is derived.
A numerical experiment is presented to demonstrate the results.
American Psychological Association (APA)
Li, Pengshi& Yang, Jianhui. 2017. Pricing Collar Options with Stochastic Volatility. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1151984
Modern Language Association (MLA)
Li, Pengshi& Yang, Jianhui. Pricing Collar Options with Stochastic Volatility. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-7.
https://search.emarefa.net/detail/BIM-1151984
American Medical Association (AMA)
Li, Pengshi& Yang, Jianhui. Pricing Collar Options with Stochastic Volatility. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-7.
https://search.emarefa.net/detail/BIM-1151984
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151984
