Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1708555 | Applied Mathematics Letters | 2011 | 5 Pages |
Abstract
In this paper, the homotopy analysis method, whose original concept comes from algebraic topology, is applied to connect the Black–Scholes option price (the good initial guess) to the option price under general stochastic volatility environment in a recursive manner. We obtain the homotopy solutions for the European vanilla and barrier options as well as the relevant convergence conditions.
Related Topics
Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Sang-Hyeon Park, Jeong-Hoon Kim,