Pricing Parisian Option under a Stochastic Volatility Model
We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/956454 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832556750502363136 |
|---|---|
| author | Min-Ku Lee Kyu-Hwan Jang |
| author_facet | Min-Ku Lee Kyu-Hwan Jang |
| author_sort | Min-Ku Lee |
| collection | DOAJ |
| description | We study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically. |
| format | Article |
| id | doaj-art-79466bd1135c45859f1dc9f4a8ec9ff4 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-79466bd1135c45859f1dc9f4a8ec9ff42025-02-03T05:44:25ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/956454956454Pricing Parisian Option under a Stochastic Volatility ModelMin-Ku Lee0Kyu-Hwan Jang1Department of Mathematics, Sungkyunkwan University, Suwon, Gyeonggi-do 440-746, Republic of KoreaDepartment of Mathematics, Yonsei University, Seoul 120-749, Republic of KoreaWe study the pricing of a Parisian option under a stochastic volatility model. Based on the manipulation problem that barrier options might create near barriers, the Parisian option has been designed as an extended barrier option. A stochastic volatility correction to the Black-Scholes price of the Parisian option is obtained in a partial differential equation form and the solution is characterized numerically.http://dx.doi.org/10.1155/2014/956454 |
| spellingShingle | Min-Ku Lee Kyu-Hwan Jang Pricing Parisian Option under a Stochastic Volatility Model Journal of Applied Mathematics |
| title | Pricing Parisian Option under a Stochastic Volatility Model |
| title_full | Pricing Parisian Option under a Stochastic Volatility Model |
| title_fullStr | Pricing Parisian Option under a Stochastic Volatility Model |
| title_full_unstemmed | Pricing Parisian Option under a Stochastic Volatility Model |
| title_short | Pricing Parisian Option under a Stochastic Volatility Model |
| title_sort | pricing parisian option under a stochastic volatility model |
| url | http://dx.doi.org/10.1155/2014/956454 |
| work_keys_str_mv | AT minkulee pricingparisianoptionunderastochasticvolatilitymodel AT kyuhwanjang pricingparisianoptionunderastochasticvolatilitymodel |