Article ID Journal Published Year Pages File Type
1707946 Applied Mathematics Letters 2014 6 Pages PDF
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
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