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

Kód výsledku v 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>
Výsledek na webu
<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>

Jazyk výsledku
angličtina
Název v původním jazyce
Computing the CEV option pricing formula using the semiclassical approximation of path integral
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Computing the CEV option pricing formula using the semiclassical approximation of path integral
Popis výsledku anglicky
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.

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

Rok uplatnění
2021
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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