• 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