This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process. The method of asymptotic analysis is employed to solve the PDE in the stochastic volatility model. An analytical approximation formula for the price of the collar option is derived. A numerical experiment is presented to demonstrate the results.
from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/2pKZSWL
via IFTTT
Εγγραφή σε:
Σχόλια ανάρτησης (Atom)
Δημοφιλείς αναρτήσεις
-
Purpose. To evaluate the diagnostic performance of the McMonnies questionnaire as a screening survey for dry eye in Chinese outpatients. Met...
-
Abstract Background With the development of emergency and intensive medical technologies, the survival rate of traumatic brain injury ha...
-
Abstract Blinatumomab is a bispecific T-cell engaging αCD19 antibody used in refractory or relapsed B-cell precursor acute lymphoblastic l...
-
Malignant peripheral nerve sheath tumor (MPNST) is the leading cause of mortality in patients with neurofibromatosis type 1. In 2002, an MPN...
-
Abstract Background While dietary factors have been shown to play an important etiologic role in non-Hodgkin lymphoma (NHL), little is k...
-
Background: Paget disease, Bowen disease, and malignant melanoma in situ are intraepidermal neoplasms, characterized by the presence of page...
-
Abstract Objective To study clinical profile and outcome in patients with methemoglobinemia following exposure to toxic colors during Ho...
-
About 540 million years ago a group of jellyfish washed ashore, died and fossilised – preserving evidence of the earliest example of an anim...
Δεν υπάρχουν σχόλια:
Δημοσίευση σχολίου