کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1709129 1012842 2010 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A new analytical approximation for European puts with stochastic volatility
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی مکانیک محاسباتی
پیش نمایش صفحه اول مقاله
A new analytical approximation for European puts with stochastic volatility
چکیده انگلیسی

In this paper, we apply singular perturbation techniques to price European puts with a stochastic volatility model, and derive a simple and elegant analytical formula as an approximation for the value of European put options. In contrast to the existing Heston’s semi-analytical formula, this approximation has the following unique feature: the latter only involves the standard normal distribution function, which is as fast and easy to implement as the Black–Scholes formula; whereas the former requires the evaluation of a logarithm with a complex argument during the involved Fourier inverse transform, which may sometimes result in numerical instability. Various numerical experiments suggest that our new formula can achieve a high order of accuracy for a large class of option derivatives with relatively short tenor.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics Letters - Volume 23, Issue 6, June 2010, Pages 687–692
نویسندگان
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