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Pricing of American Call Option Under Lévy Model With Stochastic Volatility(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2008年03期
Page:
48-53
Research Field:
数学
Publishing date:

Info

Title:
Pricing of American Call Option Under Lévy Model With Stochastic Volatility
Author(s):
Ding Ling1; Yang Jilong2
1.Department of Basic Education,Jiangsu University of Science and Technology,Zhangjiagang 215600,China
Keywords:
Ame rican option;  stochastic vo la tility;  L?vy m ode; l option pr ic ing
PACS:
F830.9;F224
DOI:
-
Abstract:
Option pric ing is one of the im po rtant contents in the m odern theory o f finance. Option price is re la ted to the vo latility of unde rlying assets. In the B- S m ode,l volatility is assum ed as a constant, bu t in rea lity, it is o ften seem ed as a random process. In th is pape r, the pric ing o fAm erican call option under L?vym odelw ith stochastic vo la tility was d iscussed. The optim a l exe rc ising tim e of Ame rican call option and the partial differential equation o f the value function o f the option were obta ined.

References:

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Last Update: 2013-05-05