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Pricing holder-extendable options in a stochastic volatility model with an ornstein-uhlenbeck process
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نویسنده
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ibrahim s.n.i. ,ng t.w. ,o'hara j.g. ,nawawi a.
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منبع
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malaysian journal of mathematical sciences - 2017 - دوره : 11 - شماره : 1 - صفحه:1 -8
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چکیده
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Holder-extendable options are characterized by two maturity dates,which means the option can be exercised at either the expiration date or the extended maturity date. this paper develops a pricing framework for holder-extendable options which deals with the extended version of a stochastic volatility model with an ornstein-uhlenbeck (ou) process. the extended model allows correlation between volatility and asset returns. the method uses fourier inversion techniques that does not require an initial guess of the characteristic functions. a closed-form pricing formula for holder-extendable options is derived for logarithmic asset price dynamics.
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کلیدواژه
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Fourier inversion; Holder-extendable option; Ornstein-Uhlenbeck process; Stochastic volatility
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آدرس
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department of mathematics,faculty of science,universiti putra malaysia,malaysia,institute for mathematical research,universiti putra malaysia, Malaysia, department of mathematics,faculty of science,universiti putra malaysia, Malaysia, centre for computational finance and economic agents,university of essex, United Kingdom, department of mathematics,faculty of science,universiti putra malaysia,malaysia,institute for mathematical research,universiti putra malaysia, Malaysia
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Authors
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