文章基本信息

标题：Recent Developments in Option Pricing
本地全文：下载
作者：Hui Gong ; You Liang ; Aerambamoorthy Thavaneswaran 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2011
卷号：1
期号：3
页码：63-71
DOI：10.4236/jmf.2011.13009
出版社：Scientific Research Publishing
摘要：In this paper, we investigate recent developments in option pricing based on Black-Scholes processes, pure jump processes, jump diffusion process, and stochastic volatility processes. Results on Black-Scholes model with GARCH volatility (Gong, Thavaneswaran and Singh [1]) and Black-Scholes model with stochastic volatility (Gong, Thavaneswaran and Singh [2]) are studied. Also, recent results on option pricing for jump diffusion processes, partial differential equation (PDE) method together with FFT (fast Fourier transform) approximations of Pillay and O’ Hara [3] and a recently proposed method based on moments of truncated lognormal distribution (Thavaneswaran and Singh [4]) are also discussed in some detail.
关键词：Stochastic Volatility; Black-Scholes Partial Differential Equations; Option Pricing; Monte Carlo