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An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin TransformsAn Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms
- Other Titles
- An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms
- Issue Date
- 2018
- Publisher
- 영남수학회
- Keywords
- Mellin transform; Stochastic elasticity of variance; Multiscale analysis; Ornstein Ulenbeck(OU) process.
- Citation
- East Asian Mathematical Journal, v.34, no.3, pp.239 - 248
- Journal Title
- East Asian Mathematical Journal
- Volume
- 34
- Number
- 3
- Start Page
- 239
- End Page
- 248
- ISSN
- 1226-6973
- Abstract
- In this paper, we derive a closed-form formula of a second- order approximation for a European corrected option price under stochas- tic elasticity of variance model mentioned in Kim et al. (2014) [1] [J.-H. Kim, J Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black- Scholes formula, Appl. Stoch. Model. Bus. 30 (2014)]. To find the explicit-form correction to the option price, we use Mellin transform ap- proaches.
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Collections - College of Business Management > Finance and Insurance Major > 1. Journal Articles
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