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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2018.1
- 수록면
- 239 - 248 (10page)
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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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참고문헌 (5)
참고문헌 신청
J.H. Kim / 2014 / A multiscale correction to the Black-Scholes formula / Appl Stoch Model Bus 30:753~765
B. Oksendal / 2003 / Stochastic Differential Equations / Springer
E. Hassan / 2007 / A note on Mellin transform and partial differential equations / International Journal of Pure and Applied Mathematics 34(4):457~467
R. Panini / 2004 / Option pricing with Mellin transforms / Mathematical and Computer Modelling 40:43~56
J.H. Yoon / 2014 / Mellin transform method for European option pricing with Hull-White stochastic interest rate / Journal of Applied Mathematics 2014:7
B. Oksendal / 2003 / Stochastic Differential Equations / Springer
E. Hassan / 2007 / A note on Mellin transform and partial differential equations / International Journal of Pure and Applied Mathematics 34(4):457~467
R. Panini / 2004 / Option pricing with Mellin transforms / Mathematical and Computer Modelling 40:43~56
J.H. Yoon / 2014 / Mellin transform method for European option pricing with Hull-White stochastic interest rate / Journal of Applied Mathematics 2014:7
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