Title of article :
Homotopy analysis method for option pricing under stochastic volatility
Author/Authors :
Park، نويسنده , , Sang-Hyeon and Kim، نويسنده , , Jeong-Hoon، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black–Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.
Keywords :
Homotopy analysis method , Option Pricing , stochastic volatility
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters