연구동향 분석
박사

(The) pricing of Asian and Parisian options under hybrid volatility models

장규환 2015년

논문상세정보
인용/피인용
' (The) pricing of Asian and Parisian options under hybrid volatility models' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • asian option
  • asymptotic
  • barrier option
  • constant elasticity of variance
  • exotic option
  • parisian option
  • stochastic elasticity of variance
  • stochastic volatility
  • 고정탄력성
  • 베리어 옵션
  • 아시안옵션
  • 이색옵션
  • 점근 해석
  • 페리시안 옵션
  • 확률변동성
  • 확률탄력성
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
42 0

0.0%

' (The) pricing of Asian and Parisian options under hybrid volatility models' 의 참고문헌

  • V. Linetsky, Spectral expansions for Asian (average price) options, Operations Research, 52(6) November-December (2004) 856-867.
  • S.-Y. Choi, J.-P. Fouque, and J.-H. Kim, Option pricing under hybrid stochastic and local volatility, Quantitative Finance, 13(8) (2013) 1157-1165.
  • S.-J. Yang, M.-K. Lee, J.-H. Kim, Portfolio optimization under the stochastic elasticity of variance, Stochastics and Dynamics, DOI: 10.1142/S021949371350024X, (2013).
  • S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer, 2008.
  • S. L. Heston, Closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies, 6 (1993) 327-343.
  • P. Wilmott, Paul Wilmott on Quantitative Finance, John Wiley & Sons, 2006.
  • P. Carr, H. Geman, D. Madan and M. Yor, Stochastic volatility for Levy processes, Mathematical Finance, 13(3) July (2003) 345-382.
  • Marcellino Gaudenzi and Antonino Zanette, "Pricing American barrier options with discrete dividends by binomial trees", 32(2) (2009) 129-148.
  • M. Fu, D. Madan, T. Wang, Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods, The Journal of Computational Finance, 2(2) Winter 1998/99.
  • Labart, C. and Lelong, J., Pricing double-barrier Parisian Options using Laplace Transforms, CERMICS technical report (2006).
  • L.C.G. Roger and Z. Shi, The value of an Asian option, Journal of Applied Probability, 32(4) (1995) 1077-1088.
  • L.B.G. Andersen and V.V. Piterbarg, Moment explosions in stochastic volatility models, Finance and Stochastics, 11 (2007) 29-50.
  • L.B.G. Andersen and V.V. Piterbarg, Moment explosions in stochastic volatility models, Finance and Stochastics 11(2007) 29-50. 2007.
  • John Hull and Alan White, The Pricing of Options on Assets with Stochastic Volatility", Article rst published online: 30 APR 2012.
  • James B. Wiggins, "Option values under stochastic volatility: Theory and empirical estimates, Journal of Financial Economics, 19(2) 91987) 351-372.
  • J.E. Ingersoll, Theory of Financial Decision Making, Rowman & Little eld, Savage, Md. 1987.
  • J.-P. Fouque, and C.H. Han, Pricing Asian options with stochastic volatility, Quantitative Finance, 3(5) (2003) 352-362.
  • J.-P. Fouque, G. Papanicolaou, R. Sircar and K. Solna, Singular Perturbations in Option Pricing, SIAM Journal on Applied Mathematics, 63(5) (2003) 1648-1665.
  • J.-P. Fouque, G. Papanicolaou, R. Sircar and K. Solna, Singular Perturbations in Option Pricing, SIAM Journal on Applied Mathematics 63 (2003) 1648-1665.
  • J.-P. Fouque, G. Papanicolaou, K.R. Sircar and K. Solna, Multiscale Stochastic Volatility for Equity, Interest Rate and Credit Derivatives, Cambridge University Press, Cambridge, 2011.
  • J.-P. Fouque, G. Papanicolaou and R. Sircar, Asymptotics of a two-scale stochastic volatility model, In equations aux derivees partielles et applications, Articles dedies a Jacques-Louis Lions, Gauthier-Villars, Paris (1998) 517-526.
  • J.-H. Yoon, J.-H. Kim, S.-Y. Choi, Multiscale analysis of a perpetual American option with the stochastic elasticity of variance, Applied Mathematics Letters 26 (2013) 670-675.
  • J.-H. Kim, J.-W. Lee, S.-P. Zhu, S.-H. Yu, A multiscale correction to the Black-Scholes formula, Applied Stochastic Models in Busi- 58 ness and Industry, Article rst published online: 19 JAN 2014 j DOI: 10.1002/asmb.2006 (2014).
  • J. Vecer, Uni ed pricing of Asian options, Risk, 15(6) (2002) 113- 116.
  • J. Cox, Notes on option pricing I: Constant elasticity of variance di usions. Working paper, Stanford University (1975) (Reprinted in J. Portf. manage., 22 (1996) 15-17).
  • Haber, R.J., Schonbucher, P.J., Wilmott, P., (1999) Pricing Parisian Options, The Journal of Derivatives, 34, 71-19.
  • H. Geman and M. Yor, Bessel processes, Asian option, and perpetuities, Mathematical Finance, 3 (1993) 349-375.
  • G. Tataru and F. Travis, \Stochastic Local Volatility" Quantitative Development Group, Bloomberg Version 1 (February 5) 2010.
  • D. Lemmens, L.Z. Liang, J. Tempere and A. De Schepper, Pricing bounds for discrete arithmetic Asian options under Levy models, Physica A: Statistical Mechanics and its Applications, 389(22) (2010) 5193-5207.
  • D. F. DeRosa, Options on Foreign Exchange, Third Edition, Wiley, Hoboken, New Jersey, 2011.
  • B. Peng and F. Peng, Pricing arithmetic Asian options under the CEV process, J. Econ. Finance Adm. Sci., 15(29) (2010) 7-13.
  • B. Oksendal, Stochastic Di erential Equations, Springer, New York, 2003.
  • A.G.Z. Kemna, A.C.F. Vorst, A pricing method for options based on average asset values, Journal of Banking & Finance, 14(1) March 1990, 113-129.
  • A.G. Ramm, A simple proof of the Fredholm alternative and a characterization of the Fredholm operators, American Mathematical Monthly, 108 (2001) 855.
  • ?[1] F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of Political Economy 81 (1973) 637-654.