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

Varování

Publikace nespadá pod Filozofickou fakultu, ale pod Ekonomicko-správní fakultu. Oficiální stránka publikace je na webu muni.cz.

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?pes=vor
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
Přiložené soubory	1-s2.0-S0377042720305355-main-3.pdf
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:	Postdoc2MUNI