An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김소연 | - |
dc.contributor.author | 윤지훈 | - |
dc.date.available | 2020-07-10T04:35:07Z | - |
dc.date.created | 2020-07-06 | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 1226-6973 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/4531 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | 영남수학회 | - |
dc.title | An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms | - |
dc.title.alternative | An Approximated European Option Price under Stochastic Elasticity of Variance using Mellin Transforms | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 김소연 | - |
dc.identifier.doi | 10.7858/eamj.2018.017 | - |
dc.identifier.bibliographicCitation | East Asian Mathematical Journal, v.34, no.3, pp.239 - 248 | - |
dc.relation.isPartOf | East Asian Mathematical Journal | - |
dc.citation.title | East Asian Mathematical Journal | - |
dc.citation.volume | 34 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 239 | - |
dc.citation.endPage | 248 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002352385 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Mellin transform | - |
dc.subject.keywordAuthor | Stochastic elasticity of variance | - |
dc.subject.keywordAuthor | Multiscale analysis | - |
dc.subject.keywordAuthor | Ornstein Ulenbeck(OU) process. | - |
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