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Pricing parisian option under a stochastic volatility model
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نویسنده
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lee m.-k. ,jang k.-h.
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منبع
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journal of applied mathematics - 2014 - دوره : 2014 - شماره : 0
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چکیده
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We study the pricing of a parisian option under a stochastic volatility model. based on the manipulation problem that barrier options might create near barriers,the parisian option has been designed as an extended barrier option. a stochastic volatility correction to the black-scholes price of the parisian option is obtained in a partial differential equation form and the solution is characterized numerically. © 2014 min-ku lee and kyu-hwan jang.
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آدرس
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department of mathematics,sungkyunkwan university,suwon, South Korea, department of mathematics,yonsei university, South Korea
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Authors
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