Informace o publikaci

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

Autoři

ARANEDA Axel Alejandro VILLENA Marcelo J.

Rok publikování 2021
Druh Článek v odborném periodiku
Časopis / Zdroj Journal of Computational and Applied Mathematics
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S0377042720305355
Doi http://dx.doi.org/10.1016/j.cam.2020.113244
Klíčová slova Option pricing; Constant elasticity of variance; Path integral; Semiclassical approximation; Numerical methods
Popis 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.
Související projekty:

Používáte starou verzi internetového prohlížeče. Doporučujeme aktualizovat Váš prohlížeč na nejnovější verzi.

Další info