Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
POLYNOMIAL CHAOS SOLUTION TO THE BLACK SCHOLES EQUATION WITH A RANDOM VOLATILITY
- Authors
- Moon, Kyoung-Sook; Kim, Hongjoong
- Issue Date
- 2012
- Publisher
- ACAD ECONOMIC STUDIES
- Keywords
- polynomial chaos; option pricing; stochastic differential equation; Black Scholes equation; spectral method
- Citation
- ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, v.46, no.2, pp.173 - 191
- Volume
- 46
- Number
- 2
- Start Page
- 173
- End Page
- 191
- ISSN
- 0424-267X
- Abstract
- In this study, the Black Scholes equation with uncertainty in its volatility is considered A numerical algorithm for option pricing based on the orthonormal polynomials from the Askey scheme is derived Then dependence of polynomial chaos on the distribution type of the volatility is investigated. Numerical experiments show that when appropriate polynomial chaos. is chosen as a basis in the random space for the volatility, the solution to the Black Scholes equation converges. significantly fast.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - 경영대학 > 금융수학과 > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Related Researcher
- Moon, Kyoung Sook
- Business Administration (금융·빅데이터학부)