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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.20 No.2
- 발행연도
- 2016.6
- 수록면
- 123 - 135 (13page)
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초록· 키워드
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This article deals with the pricing of Asian options under a constant elasticity of variance (CEV) model as well as a stochastic elasticity of variance (SEV) model. The CEV and SEV models are underlying asset price models proposed to overcome shortcomings of the constant volatility model. In particular, the SEV model is attractive because it can characterize the feature of volatility in risky situation such as the global financial crisis both quantitatively and qualitatively. We use an asymptotic expansion method to approximate the no-arbitrage price of an arithmetic average Asian option under both CEV and SEV models. Subsequently, the zero and non-zero constant leverage effects as well as stochastic leverage effects are compared with each other. Lastly, we investigate the SEV correction effects to the CEV model for the price of Asian options.
목차
ABSTRACT
1. INTRODUCTION
2. PRICING UNDER CEV MODEL
3. PRICING UNDER SEV MODEL
4. ASYMPTOTIC EXPANSION
5. APPROXIMATE OPTION PRICE
6. CONCLUSION
REFERENCES
참고문헌 (24)
참고문헌 신청
[학술지(정기간행물)] - F. Black / 1973 / The pricing of options andcorporate liabilities / J. Polit. Econ 81 : 637 ~ 654
[단행본] - P. Wilmott / 2006 / Paul Wilmott on Quantitative Finance / John Wiley and Sons
[학술지(정기간행물)] - H. Geman / 1993 / Bessel processes, Asian option and perpetuities / Math. Financ 3 : 349 ~ 375
[학술지(정기간행물)] - V. Linetsk / 2004 / Spectral expansions for Asian (average price) options / Oper. Res 52 (6) : 856 ~ 867
[학술지(정기간행물)] - A.G.Z. Kemna / 1990 / A pricing method for options based on average asset values / J. Bank. Financ 14 (1) : 113 ~ 129
[단행본] - P. Wilmott / 2006 / Paul Wilmott on Quantitative Finance / John Wiley and Sons
[학술지(정기간행물)] - H. Geman / 1993 / Bessel processes, Asian option and perpetuities / Math. Financ 3 : 349 ~ 375
[학술지(정기간행물)] - V. Linetsk / 2004 / Spectral expansions for Asian (average price) options / Oper. Res 52 (6) : 856 ~ 867
[학술지(정기간행물)] - A.G.Z. Kemna / 1990 / A pricing method for options based on average asset values / J. Bank. Financ 14 (1) : 113 ~ 129
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UCI(KEPA) : I410-ECN-0101-2017-410-000880285