Title of article
Homotopy analysis method for option pricing under stochastic volatility
Author/Authors
Park، نويسنده , , Sang-Hyeon and Kim، نويسنده , , Jeong-Hoon، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
5
From page
1740
To page
1744
Abstract
In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black–Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.
Keywords
Homotopy analysis method , Option Pricing , stochastic volatility
Journal title
Applied Mathematics Letters
Serial Year
2011
Journal title
Applied Mathematics Letters
Record number
1528052
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