التفاصيل البيبلوغرافية
| العنوان: |
Pricing options on a mean-reverting asset by the analytical operator splitting method |
| المؤلفون: |
C. F. Lo, Y. W. He |
| المصدر: |
World Scientific Publishing Co. Pte. Ltd., International Journal of Financial Engineering (IJFE). 9(02):1-16 |
| سنة النشر: |
2022 |
| الوصف: |
In this paper, we propose an operator splitting method to valuate options on the inhomogeneous geometric Brownian motion. By exploiting the approximate dynamical symmetry of the pricing equation, we derive a simple closed-form approximate price formula for a European call option which resembles closely the Black–Scholes price formula for a European vanilla call option. Numerical tests show that the proposed method is able to provide very accurate estimates and tight bounds of the exact option prices. The method is very efficient and robust as well. |
| نوع الوثيقة: |
redif-article |
| اللغة: |
English |
| DOI: |
10.1142/S242478632150002X |
| الإتاحة: |
https://ideas.repec.org/a/wsi/ijfexx/v09y2022i02ns242478632150002x.html |
| رقم الأكسشن: |
edsrep.a.wsi.ijfexx.v09y2022i02ns242478632150002x |
| قاعدة البيانات: |
RePEc |
