Critical Point on Stochastic Volatility Option Pricing

2017 ◽  
Author(s):  
Ilya I. Gikhman
Keyword(s):  
Option Pricing ◽  
Critical Point ◽  
Stochastic Volatility

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

Option Pricing Under Incompleteness and Stochastic Volatility

1992 ◽  
Vol 2 (3) ◽  
pp. 153-187 ◽  
Author(s):  
Norbert Hofmann ◽  
Eckhard Platen ◽  
Martin Schweizer
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility
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