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.
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Publication date: January 2018 Source: International Journal of Biological Macromolecules, Volume 106 from #AlexandrosSfakianakis via...
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ACS Nano DOI: 10.1021/acsnano.7b01926 from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/2pOw4te via...
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