Pricing Path-Dependent Options Under Stochastic Volatility via Mellin Transform

Simple item page
aut.relation.endpage456
aut.relation.issue10
aut.relation.journalJournal of Risk and Financial Management
aut.relation.startpage456
aut.relation.volume16
dc.contributor.authorCao, Jiling
dc.contributor.authorLi, Xi
dc.contributor.authorZhang, Wenjun
dc.date.accessioned2023-10-31T03:47:09Z
dc.date.available2023-10-31T03:47:09Z
dc.date.issued2023-10-20
dc.description.abstractIn 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.
dc.identifier.citationJournal of Risk and Financial Management, ISSN: 1911-8074 (Print); 1911-8074 (Online), MDPI AG, 16(10), 456-456. doi: 10.3390/jrfm16100456
dc.identifier.doi10.3390/jrfm16100456
dc.identifier.issn1911-8074
dc.identifier.issn1911-8074
dc.identifier.urihttp://hdl.handle.net/10292/16848
dc.languageen
dc.publisherMDPI AG
dc.relation.urihttps://www.mdpi.com/1911-8074/16/10/456
dc.rights.accessrightsOpenAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subject3502 Banking, Finance and Investment
dc.subject35 Commerce, Management, Tourism and Services
dc.subject35 Commerce, management, tourism and services
dc.subject38 Economics
dc.titlePricing Path-Dependent Options Under Stochastic Volatility via Mellin Transform
dc.typeJournal Article
pubs.elements-id527955
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Cao et al_2023_Pricing path dependent options.pdf
Size:
400.84 KB
Format:
Adobe Portable Document Format
Description:
Journal article
Download
Collections
School of Engineering, Computer and Mathematical Sciences - Te Kura Mātai Pūhanga, Rorohiko, Pāngarau