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A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
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Youssef El-Khatib
Veröffentlicht/Copyright:
6. Juni 2014
Abstract
We investigate a solution for the option pricing partial differential equation (PDE) in a market suffering from a financial crisis. The post-crash model assumes that the volatility is stochastic. It is an extension of the famous Black and Scholes model. Therefore, the option pricing PDE for the crisis model is a generalization of the Black and Scholes PDE. However, to the best knowledge, it does not have a closed form solution for the general case. In this paper, we provide a solution for the pricing PDE of a European option during financial crisis using the homotopy analysis method.
Published Online: 2014-6-6
Published in Print: 2014-11-30
©2014 Walter de Gruyter Berlin/Boston
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Artikel in diesem Heft
- Frontmatter
- On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term
- A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
- Monopoly, Social Welfare, and Multi Product Quality
- Understanding Voting Behaviour in Complex Political Systems
- Discrete Versus Continuous Time in an Endogenous Growth Model with Durable Consumption
- A Solution for General Exchange Markets with Indivisible Goods when Indifferences are Allowed
- A Perishable Inventory Model with Bonus Service for Certain Customers, Balking and N + 1 Policy
Schlagwörter für diesen Artikel
Black-Scholes PDE;
Options;
Financial Crisis;
Homotopy Analysis Method
Artikel in diesem Heft
- Frontmatter
- On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term
- A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets
- Monopoly, Social Welfare, and Multi Product Quality
- Understanding Voting Behaviour in Complex Political Systems
- Discrete Versus Continuous Time in an Endogenous Growth Model with Durable Consumption
- A Solution for General Exchange Markets with Indivisible Goods when Indifferences are Allowed
- A Perishable Inventory Model with Bonus Service for Certain Customers, Balking and N + 1 Policy
