文章基本信息

标题：Pricing Collar Options with Stochastic Volatility
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作者：Pengshi Li ; Jianhui Yang
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2017
卷号：2017
DOI：10.1155/2017/9673630
出版社：Hindawi Publishing Corporation
摘要：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.