Title of article
NUMERICAL SOLUTION OF PRICING OF EUROPEAN PUT OPTION WITH STOCHASTIC VOLITILITY
Author/Authors
Rana, U. S. D.A.V. (P.G.) College Dehradun - Department of Mathematics and Computer Science, India , Ahmad, A. D.A.V. (P.G.) College Dehradun - Department of Mathematics, India
From page
189
To page
202
Abstract
In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stock price from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved by Crank-Nicolson finite difference method for various interest rates and maturity in time. The sensitivity measures Greeks are also determined to validate the model. It is observed that the value of European put option increases with maturity time and decreases with interest rate
Keywords
European Option , Finite Difference Method , Stochastic Volatility , GARCH (1 , 1) , Greeks
Journal title
International Journal of Engineering
Journal title
International Journal of Engineering
Record number
2563689
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