Title of article
stochastic analysis and invariant subspace method for handling option pricing with numerical simulation
Author/Authors
hejazi, reza shahrood university of technology - faculty of mathematical sciences, shahrood, iran , dastranj, elham shahrood university of technology - faculty of mathematical sciences, shahrood, iran , habibi, noora shahrood university of technology - faculty of mathematical sciences, shahrood, iran , naderifard, azadeh shahrood university of technology - faculty of mathematical sciences, shahrood, iran
From page
419
To page
430
Abstract
in this paper, option pricing is given via stochastic analysis and invariant subspace method. finally numerical solutions is driven and shown via diagram. the considered model is one of the most well known non- linear time series model in which the switching mechanism is controlled by an unobservable state variable that follows a first-order markov chain. some analytical solutions for option pricing are given under our considered model. then numerical solutions are presented via finite difference method.
Keywords
option pricing , markov chain , geometric brownian motion , finite difference method
Journal title
Computational Methods for Differential Equations
Journal title
Computational Methods for Differential Equations
Record number
2704845
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