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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from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/2jCvX3K via IFTTT
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Treatment effectiveness holds considerable importance in the association between service quality and satisfaction in medical service studies...
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Vol.25 No.2 from #AlexandrosSfakianakis via Alexandros G.Sfakianakis on Inoreader http://ift.tt/1P7bHxT via IFTTT
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Publication date: Available online 16 January 2017 Source: International Journal of Pediatric Otorhinolaryngology Author(s): Kaveh Karimn...
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