scholarly journals Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth

2018 ◽  
Vol 21 (1) ◽  
pp. 331-366 ◽  
Author(s):  
Viktor Bezborodov ◽  
Luca Di Persio ◽  
Yuliya Mishura
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Polynomial Growth ◽  
Payoff Function

scholarly journals Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein-Uhlenbeck Type

2010 ◽  
Vol 2010 ◽  
pp. 1-18 ◽  
Author(s):  
Alexandre F. Roch
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Option Pricing ◽  
Stochastic Volatility ◽  
Viscosity Solution ◽  
Lipschitz Condition ◽  
Payoff Function ◽  
Stochastic Volatility Model ◽  
American Option Pricing ◽  
Volatility Model

We study the valuation of American-type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condition.

Option pricing under the fractional stochastic volatility model

2021 ◽  
Vol 63 ◽  
pp. 123-142
Author(s):  
Yuecai Han ◽  
Zheng Li ◽  
Chunyang Liu
Keyword(s):  
Brownian Motion ◽  
Option Pricing ◽  
Fractional Brownian Motion ◽  
Stochastic Volatility ◽  
Option Price ◽  
Stochastic Volatility Model ◽  
Option Prices ◽  
European Call Option ◽  
Volatility Model ◽  
The Impact

We investigate the European call option pricing problem under the fractional stochastic volatility model. The stochastic volatility model is driven by both fractional Brownian motion and standard Brownian motion. We obtain an analytical solution of the European option price via the Itô’s formula for fractional Brownian motion, Malliavin calculus, derivative replication and the fundamental solution method. Some numerical simulations are given to illustrate the impact of parameters on option prices, and the results of comparison with other models are presented. doi:10.1017/S1446181121000225

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