Computing the CEV option pricing formula using the semiclassical approximation of path integral

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00120690" target="_blank" >RIV/00216224:14560/21:00120690 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0377042720305355?pes=vor" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0377042720305355?pes=vor</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.cam.2020.113244" target="_blank" >10.1016/j.cam.2020.113244</a>

Result language
angličtina
Original language name
Computing the CEV option pricing formula using the semiclassical approximation of path integral
Original language description
The CEV model allows volatility to change with the underlying price, capturing a basic empirical regularity very relevant for option pricing, such as the volatility smile. Nevertheless, the standard CEV solution, using the non-central chi-square approach, still presents high computational times. In this paper, the CEV option pricing formula is computed using the semiclassical approximation of Feynman's path integral. Our simulations show that the method is quite efficient and accurate compared to the standard CEV solution considering the pricing of European call options.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/EF18_053%2F0016952" target="_blank" >EF18_053/0016952: Postdoc2MUNI</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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