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

J 2021

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

ARANEDA, Axel Alejandro a Marcelo J. VILLENA

Základní údaje

Originální název

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

Autoři

ARANEDA, Axel Alejandro a Marcelo J. VILLENA

Vydání

Journal of Computational and Applied Mathematics, AMSTERDAM, Elsevier Science, 2021, 0377-0427

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50206 Finance

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 2.872

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/21:00120690

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

Option pricing; Constant elasticity of variance; Path integral; Semiclassical approximation; Numerical methods

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 23. 11. 2023 11:01, Mgr. Pavlína Kurková

Anotace

V originále

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.

Návaznosti

CZ.02.2.69/0.0/0.0/18_053/0016952, interní kód MU
(Kód CEP: EF18_053/0016952)

Název: Postdoc2MUNI

Investor: Ministerstvo školství, mládeže a tělovýchovy ČR, Postdoc2MUNI, PO 2 Rozvoj vysokých škol a lidských zdrojů pro výzkum a vývoj

EF18_053/0016952, projekt VaV

Název: Postdoc2MUNI

Přiložené soubory

1-s2.0-S0377042720305355-main-3.pdf

Požádat o autorskou verzi souboru

Citovat

ARANEDA, Axel Alejandro a Marcelo J. VILLENA. Computing the CEV option pricing formula using the semiclassical approximation of path integral. Journal of Computational and Applied Mathematics. AMSTERDAM: Elsevier Science, 2021, roč. 388, May, s. 1-20. ISSN 0377-0427. Dostupné z: https://doi.org/10.1016/j.cam.2020.113244.

@article{1678114,
   author = {Araneda, Axel Alejandro and Villena, Marcelo J.},
   article_location = {AMSTERDAM},
   article_number = {May},
   doi = {https://doi.org/10.1016/j.cam.2020.113244},
   keywords = {Option pricing; Constant elasticity of variance; Path integral; Semiclassical approximation; Numerical methods},
   language = {eng},
   issn = {0377-0427},
   journal = {Journal of Computational and Applied Mathematics},
   title = {Computing the CEV option pricing formula using the semiclassical approximation of path integral},
   url = {https://www.sciencedirect.com/science/article/pii/S0377042720305355?pes=vor},
   volume = {388},
   year = {2021}
}

TY  - JOUR
ID  - 1678114
AU  - Araneda, Axel Alejandro - Villena, Marcelo J.
PY  - 2021
TI  - Computing the CEV option pricing formula using the semiclassical approximation of path integral
JF  - Journal of Computational and Applied Mathematics
VL  - 388
IS  - May
SP  - 1-20
EP  - 1-20
PB  - Elsevier Science
SN  - 03770427
KW  - Option pricing
KW  - Constant elasticity of variance
KW  - Path integral
KW  - Semiclassical approximation
KW  - Numerical methods
UR  - https://www.sciencedirect.com/science/article/pii/S0377042720305355?pes=vor
N2  - 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.
ER  -

ARANEDA, Axel Alejandro a Marcelo J. VILLENA. Computing the CEV option pricing formula using the semiclassical approximation of path integral. \textit{Journal of Computational and Applied Mathematics}. AMSTERDAM: Elsevier Science, 2021, roč.~388, May, s.~1-20. ISSN~0377-0427. Dostupné z: https://doi.org/10.1016/j.cam.2020.113244.

Přehled o publikaci