Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1707946 | Applied Mathematics Letters | 2014 | 6 Pages |
Abstract
In this paper, we consider the pricing of vulnerable options when the underlying asset follows a stochastic volatility model. We use multiscale asymptotic analysis to derive an analytic approximation formula for the price of the vulnerable options and study the stochastic volatility effect on the option price. A numerical experiment result is presented to demonstrate our findings graphically.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Sung-Jin Yang, Min-Ku Lee, Jeong-Hoon Kim,