Pricing Path-Dependent Options Under Stochastic Volatility via Mellin Transform
Date
Authors
Supervisor
Item type
Journal Article
Degree name
Journal Title
Journal ISSN
Volume Title
Publisher
MDPI AG
Abstract
In this paper, we derive closed-form formulas of first-order approximation for down-and-out barrier and floating strike lookback put option prices under a stochastic volatility model using an asymptotic approach. To find the explicit closed-form formulas for the zero-order term and the first-order correction term, we use Mellin transform. We also conduct a sensitivity analysis on these formulas, and compare the option prices calculated by them with those generated by Monte-Carlo simulation.Description
Source
Journal of Risk and Financial Management, ISSN: 1911-8074 (Print); 1911-8074 (Online), MDPI AG, 16(10), 456-456. doi: 10.3390/jrfm16100456