Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility

2021 ◽  
pp. 105986
Author(s):  
Xiaoping Lus ◽  
Song-Ping Zhu ◽  
Dong Yan
Keyword(s):  
Transaction Costs ◽  
Stochastic Volatility ◽  
Nonlinear Pde ◽  
European Options ◽  
Pde Model

scholarly journals Mathematical analysis of a nonlinear PDE model for European options with counterparty risk

2019 ◽  
Vol 357 (3) ◽  
pp. 252-257 ◽  
Author(s):  
Iñigo Arregui ◽  
Beatriz Salvador ◽  
Daniel Ševčovič ◽  
Carlos Vázquez
Keyword(s):  
Mathematical Analysis ◽  
Nonlinear Pde ◽  
Counterparty Risk ◽  
European Options ◽  
Pde Model

THE PRICING OF EUROPEAN OPTIONS UNDER THE CONSTANT ELASTICITY OF VARIANCE WITH STOCHASTIC VOLATILITY

2013 ◽  
Vol 12 (01) ◽  
pp. 1350004 ◽  
Author(s):  
BOUNGHUN BOCK ◽  
SUN-YONG CHOI ◽  
JEONG-HOON KIM
Keyword(s):  
Numerical Experiment ◽  
Stochastic Volatility ◽  
Hybrid Model ◽  
Multiscale Analysis ◽  
Asset Price ◽  
European Options ◽  
Barrier Option ◽  
Price Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

European Option Pricing under the Double Exponential Jump Model with Stochastic Interest Rate, Stochastic Volatility and Stochastic Intensity

2014 ◽  
Vol 631-632 ◽  
pp. 1325-1328 ◽  
Author(s):  
Jin Yan Sang ◽  
Na Zhang ◽  
Ming Jian
Keyword(s):  
Stochastic Volatility ◽  
Jump Process ◽  
European Options ◽  
European Option ◽  
European Option Pricing ◽  
Stochastic Intensity ◽  
Jump Model ◽  
Double Exponential ◽  
Stochastic Interest ◽  
Form Representation

This paper explores the valuation of European options when the underlying asset follows the double exponential jump process with stochastic rate, stochastic volatility and stochastic intensity. This model better describes market characteristics, such as the volatility smile, and jump behavior. By using FFT (Fast Fourier Transform) approach, a closed form representation of the characteristic function of the process is derived for the valuation of European options. Numerical results show that the FFT method is effective and competent.

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